A Monte Carlo Approach to Filtering for a Class of Marked Doubly Stochastic Poisson Processes

DOI10.1198/016214506000000276zbMath1171.62344OpenAlexW2060342265MaRDI QIDQ3434218

Marco Minozzo, Silvia Centanni

Publication date: 23 April 2007

Published in: Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1198/016214506000000276

zbMATH Keywords

marked point processCox processMonte Carlo EMshot noise processreversible-jump Markov chain Monte Carloulta-high-frequency data

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Non-Markovian processes: estimation (62M09) Numerical analysis or methods applied to Markov chains (65C40)

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