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On the Smoothing Estimation Problem for the Intensity of a DSMPP

Author

Listed:
  • Rosa Maria Fernández-Alcalá

    (University of Jaén)

  • Jesus Navarro-Moreno

    (University of Jaén)

  • Juan C. Ruiz-Molina

    (University of Jaén)

Abstract

The smoothing estimation problem for the intensity process of a doubly stochastic multichannel Poisson process is investigated. Recursive procedures for the efficient computation of the fixed-point as well as the fixed-interval smoothing estimators of the intensity process are designed. The only hypothesis imposed is that the covariance function of the intensity process is finite-dimensional and known. Thus, the provided solution is valid for both stationary and non-stationary processes.

Suggested Citation

  • Rosa Maria Fernández-Alcalá & Jesus Navarro-Moreno & Juan C. Ruiz-Molina, 2012. "On the Smoothing Estimation Problem for the Intensity of a DSMPP," Methodology and Computing in Applied Probability, Springer, vol. 14(1), pages 5-16, March.
    • Handle: RePEc:spr:metcap:v:14:y:2012:i:1:d:10.1007_s11009-010-9165-z
    DOI: 10.1007/s11009-010-9165-z
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    References listed on IDEAS

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    1. P. Bouzas & N. Ruiz-Fuentes & F. Ocaña, 2007. "Functional approach to the random mean of a compound Cox process," Computational Statistics, Springer, vol. 22(3), pages 467-479, September.
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