Counting process systems: identification and stochastic realization
Saved in:
| Main Author: | |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Amsterdam
CWI
1990
|
| Series: | Centrum voor Wiskunde en Informatica <Amsterdam>: CWI Tract
71 |
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | 135 S. |
| ISBN: | 9061963885 |
Staff View
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Record in the Search Index
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| adam_text | Contents
1. Introduction 1
1.1 Informal introduction to counting processes 1
1.2 Modelling the intensity process 3
1.3 Identification 4
1.4 Realization 5
1.5 Organization of the monograph 6
2. Background in Stochastic Processes 7
2.1 Basic concepts 7
2.2 Martingale theory 11
2.3 Stochastic integration 19
2.4 Point processes 21
2.5 Random measures 23
2.6 Local characteristics of semimartingales 25
3. Weak Convergence and Local Asymptotic Normality 29
3.1 Weak convergence 29
3.2 Likelihood ratios and local asymptotic normality 41
4. Recursive Estimation 59
4.1 Recursive least squares estimation 59
4.2 Recursive tnaxiimini likelihood estimation 67
4.3 Recursive tngTinnim likelihood estimation II 81
5. Counting Process Systems 89
5.1 Counting process systems 89
5.2 Minimality of conditionally Poisson systems 96
5.3 Selfexciting counting process systems 112
6. Conclusions 131
References 133
|
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| discipline | Mathematik |
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| id | DE-604.BV004722016 |
| illustrated | Not Illustrated |
| indexdate | 2024-07-09T16:16:40Z |
| institution | BVB |
| isbn | 9061963885 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-002902366 |
| oclc_num | 22971190 |
| open_access_boolean | |
| owner | DE-91G DE-BY-TUM DE-11 DE-188 |
| owner_facet | DE-91G DE-BY-TUM DE-11 DE-188 |
| physical | 135 S. |
| publishDate | 1990 |
| publishDateSearch | 1990 |
| publishDateSort | 1990 |
| publisher | CWI |
| record_format | marc |
| series | Centrum voor Wiskunde en Informatica <Amsterdam>: CWI Tract |
| series2 | Centrum voor Wiskunde en Informatica <Amsterdam>: CWI Tract |
| spelling | Spreij, P. J. Verfasser aut Counting process systems identification and stochastic realization P. J. C. Spreij Amsterdam CWI 1990 135 S. txt rdacontent n rdamedia nc rdacarrier Centrum voor Wiskunde en Informatica <Amsterdam>: CWI Tract 71 Calcul ram Processus stochastiques ram Counting Stochastic processes Centrum voor Wiskunde en Informatica <Amsterdam>: CWI Tract 71 (DE-604)BV001902011 71 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=002902366&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Spreij, P. J. Counting process systems identification and stochastic realization Centrum voor Wiskunde en Informatica <Amsterdam>: CWI Tract Calcul ram Processus stochastiques ram Counting Stochastic processes |
| title | Counting process systems identification and stochastic realization |
| title_auth | Counting process systems identification and stochastic realization |
| title_exact_search | Counting process systems identification and stochastic realization |
| title_full | Counting process systems identification and stochastic realization P. J. C. Spreij |
| title_fullStr | Counting process systems identification and stochastic realization P. J. C. Spreij |
| title_full_unstemmed | Counting process systems identification and stochastic realization P. J. C. Spreij |
| title_short | Counting process systems |
| title_sort | counting process systems identification and stochastic realization |
| title_sub | identification and stochastic realization |
| topic | Calcul ram Processus stochastiques ram Counting Stochastic processes |
| topic_facet | Calcul Processus stochastiques Counting Stochastic processes |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=002902366&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| volume_link | (DE-604)BV001902011 |
| work_keys_str_mv | AT spreijpj countingprocesssystemsidentificationandstochasticrealization |