Estimating doubly stochastic Poisson process with affine intensities by Kalman filter

DOI10.1007/s00362-014-0606-6zbMath1329.62393OpenAlexW1998003810MaRDI QIDQ2516623

Adilson Simonis, Alan De Genaro

Publication date: 3 August 2015

Published in: Statistical Papers (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00362-014-0606-6

zbMATH Keywords

Kalman filteraffine diffusiondoubly stochastic Poisson processorder book

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Inference from stochastic processes (62M99)

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