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Estimation and filtering on a doubly stochastic poisson process

 

作者: Mariano J. Valderrama,   Francisco Jimenez,   Ramon Gutierrez,   Alfredo Martinez‐Almecija,  

 

期刊: Applied Stochastic Models and Data Analysis  （WILEY Available online 1995）
卷期: Volume 11, issue 1  

页码: 13-24

 

ISSN:8755-0024

 

年代: 1995

 

DOI:10.1002/asm.3150110104

 

出版商: John Wiley&Sons, Ltd.

 

关键词: doubly stochastic Poisson process;Karhunen—Loève expansion;sample‐function density;Kalman filtering

 

数据来源: WILEY

 

摘要:

AbstractAn explicit formula for the characteristic function of a doubly stochastic Poisson process is derived in this paper by means of the harmonic decomposition of its intensity function that we suppose to be Gaussian. The statistical moments are then obtained, as well as the sample function density of the process. These results are applied to estimate the parameters of several well‐known processes. Finally, a linear filtering procedure for the intensity function is developed and the algorithm is implemented by computer

 

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