Book Review: Doubly stochastic Poisson processes
نویسندگان
چکیده
منابع مشابه
Recursive Linear Estimation for Doubly Stochastic Poisson Processes
The problem of estimating the intensity process of a doubly stochastic Poisson process is analyzed. Using covariance information, a recursive linear minimum mean-square error estimate is designed. Moreover, an efficient procedure for the computation of its associated error covariance is shown. The proposed solution becomes an alternative approach to the Kalman filter which is applicable under t...
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This paper describes a method of rate estimation for spike trains produced by auditory models. The firing of the spike train is modelled as a doubly stochastic process where the firing rate is a function of an underlying process. The underlying process is estimated from an observation counting process. The variance of the estimator is calculated for tracking a random walk stochastic FM signal t...
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We explore the behavior of the fractal-shot-noise driven doubly stochastic Poisson point process or FSNDP, for which the associated impulse response functions assume a decaying power-law form. For a variety of parameters of the process, we obtain expressions for the count number distribution and moments, Fano factor, normalized coincidence rate, power spectral density, and time probability dens...
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For decades, actuaries have historically used statistical and financial models that were inherently considered deterministic in the sense that random fluctuations are often ignored, although some type of sensitivity of the parameter and model assumptions have been employed to have a sense of the possible variation in the results. Today, such sensitivity analysis is unacceptably appropriate when...
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This paper defines Structured Markovian Arrival Processes (SMAPs). An SMAP consists of several blocks each being represented by a random variable specifying the duration of staying in that block. Leaving a block indicates an arrival event of the SMAP. The routing between blocks is governed by a stochastic matrix Q. It is shown that the joint moments of the SMAP can be directly determined from t...
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ژورنال
عنوان ژورنال: Bulletin of the American Mathematical Society
سال: 1978
ISSN: 0002-9904
DOI: 10.1090/s0002-9904-1978-14494-2