Algorithm for the exact likelihood of a counting process
作者:
A. THAVANESWARAN,
T. E. UNNY,
期刊:
International Journal of Systems Science
(Taylor Available online 1987)
卷期:
Volume 18,
issue 10
页码: 1857-1862
ISSN:0020-7721
年代: 1987
DOI:10.1080/00207728708967158
出版商: Taylor & Francis Group
数据来源: Taylor
摘要:
The Poisson-gamma filter is a technique for updating estimates as new observations become available from a counting process model. It is shown that the Poisson-gamma filter could be used to calculate exact maximum likelihood estimates of the parameters in a counting process model. Adaptive estimation for a counting process model with non-linear intensity is a special case of this technique. Discrete-time models are obtained to handle unequally-spaced data.
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