IDEAS home Printed from https://ideas.repec.org/a/eee/spapps/v34y1990i2p275-295.html
   My bibliography  Save this article

Self-exciting counting process systems with finite state space

Author

Listed:
  • Spreij, Peter

Abstract

Stochastic systems with counting process output and a finite state space are considered. This leads to studying processes with finite state space that are Markovian with respect to the flow of [sigma]-algebras, that is generated by the counting process. It appears that there is a close relationship between the transition intensities of the Markov process and the intensity of the counting process. Some consequences for a stochastic realization problem are then studied.

Suggested Citation

  • Spreij, Peter, 1990. "Self-exciting counting process systems with finite state space," Stochastic Processes and their Applications, Elsevier, vol. 34(2), pages 275-295, April.
    • Handle: RePEc:eee:spapps:v:34:y:1990:i:2:p:275-295
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/0304-4149(90)90019-O
    Download Restriction: Full text for ScienceDirect subscribers only
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Spreij, P., 1989. "Minimality and reducibility of conditionally poisson systems with finite state space," Serie Research Memoranda 0071, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
    2. Spreij, Peter, 1998. "A representation result for finite Markov chains," Statistics & Probability Letters, Elsevier, vol. 38(2), pages 183-186, June.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:spapps:v:34:y:1990:i:2:p:275-295. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/wps/find/journaldescription.cws_home/505572/description#description .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.