Filtering and smoothing formulas of AR(p)-modulated Poisson processes

DOI10.1080/03610918.2018.1501483OpenAlexW2902728676MaRDI QIDQ5086307

Junrong Liu, Qihong Duan

Publication date: 5 July 2022

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2018.1501483

zbMATH Keywords

filteringclosed-form expressionreference probabilityPoisson observationautoregression model

Mathematics Subject Classification ID

Statistics (62-XX)

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