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On the estimation of the stochastic intensity and the parameters of neyman-scott trigger processes

 

作者: FRANZ Konecny,  

 

期刊: Statistics  （Taylor Available online 1987）
卷期: Volume 18, issue 1  

页码: 113-118

 

ISSN:0233-1888

 

年代: 1987

 

DOI:10.1080/02331888708801997

 

出版商: Akademie-Verlag

 

关键词: Primary 93 E 10;secondary 62 M 09;62 M 99;60 G 35;NEYMAN-SCOTT trigger processes;doubly stochastic POISSON processes;point processes;non-linear filtering

 

数据来源: Taylor

 

摘要:

In this paper we are concerned with a class of simple point processes, whose unobservable stochastic intensity is a shot-noise process. We derive a stochastic equation for the conditional moment generating function of the intensity, which can be solved in a recursive way. This yields explicit expression for the minimum variance estimate of the intensity as well as the likelihood ration with respect to the reference measure, on the basis of point process observations.

 

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