Estimating the parameters of a seasonal Markov-modulated Poisson process
type: Item
instance of: scholarly article
title: Estimating the parameters of a seasonal Markov-modulated Poisson process
zbMATH Open document ID: 1487.62100
author: Armelle Guillou
author: Stéphane Loisel
author: Gilles Stupfler
published in: Statistical Methodology
publication date: 2019-03-13T00:00:00Z
Mathematics Subject Classification ID: 62M05
Mathematics Subject Classification ID: 62F12
Mathematics Subject Classification ID: 60F05
Mathematics Subject Classification ID: 60F15
Mathematics Subject Classification ID: 62E20
Mathematics Subject Classification ID: 62P05
zbMATH DE Number: 7035739
zbMATH Keywords: Markov-modulated Poisson process
zbMATH Keywords: seasonality
zbMATH Keywords: split-time likelihood
zbMATH Keywords: strong consistency
zbMATH Keywords: asymptotic normality
MaRDI profile type: Publication
full work available at URL: j.stamet.2015.04.003
OpenAlex ID: W2080668245
cites work: Q3026011
cites work: Risk theory in a Markovian environment
cites work: A course in credibility theory and its applications
cites work: Circulant Preconditioners for Markov-Modulated Poisson Processes and Their Applications to Manufacturing Systems
cites work: The Markov-modulated Poisson process (MMPP) cookbook
cites work: Estimation of the parameters of a Markov-modulated loss process in insurance
cites work: A non-parametric estimator for the doubly periodic Poisson intensity function
cites work: Q5443078
cites work: Maximum-likelihood estimation for hidden Markov models
cites work: Doubly periodic non-homogeneous Poisson models for hurricane data
cites work: On the probability of ruin in a Markov-modulated risk model
cites work: A fitting algorithm for Markov-modulated Poisson processes having two arrival rates
cites work: On the joint distribution of surplus before and after ruin under a Markovian regime switching model
cites work: Non-Life Insurance Pricing with Generalized Linear Models
cites work: Linear Statistical Inference and its Applications
cites work: Consistent and asymptotically normal parameter estimates for hidden Markov models
cites work: Parameter estimation for Markov modulated poisson processes
cites work: Q4856006
cites work: An EM algorithm for estimation in Markov-modulated Poisson processes
cites work: On identifiability and order of continuous-time aggregated Markov chains, Markov-modulated Poisson processes, and phase-type distributions
cites work: Error bounds for convolutional codes and an asymptotically optimum decoding algorithm
cites work: On the Markov-modulated insurance risk model with tax
cites work: Ruin theory for a Markov regime-switching model under a threshold dividend strategy
DOI: 10.1016/J.STAMET.2015.04.003
description: scientific article; zbMATH DE number 7035739