A DYNAMIC APPROACH TO THE STATISTICAL-ANALYSIS OF POINT-PROCESSES

被引：9

作者：

GAMERMAN, D ^{[1
]}

机构：

[1] UNIV ROME Z,ROME,ITALY

来源：

BIOMETRIKA | 1992年 / 79卷 / 01期

关键词：

INTENSITY RATE; PIECEWISE SELF-EXCITING PROCESS; PREDICTION; SMOOTHING; TIME VARIATION;

D O I：

10.1093/biomet/79.1.39

中图分类号：

Q [生物科学];

学科分类号：

07 ; 0710 ; 09 ;

摘要：

An approach to the analysis of point processes based on sequential analysis of successive intervals assuming a piecewise constant intensity rate is presented. Bayesian inference for processes with explanatory variables is derived in terms of on-line estimation, filtering and prediction. Limiting equations for the time-continuous intensity rate are obtained and solved for the no-covariates case. Examples are provided and the approach is applied in a numerical example.

引用

页码：39 / 50

页数：12

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