Annals of the Institute of Statistical Mathematics

, Volume 65, Issue 3, pp 413–437

Inference for a class of partially observed point process models


DOI: 10.1007/s10463-012-0375-8

Cite this article as:
Martin, J.S., Jasra, A. & McCoy, E. Ann Inst Stat Math (2013) 65: 413. doi:10.1007/s10463-012-0375-8


This paper presents a simulation-based framework for sequential inference from partially and discretely observed point process models with static parameters. Taking on a Bayesian perspective for the static parameters, we build upon sequential Monte Carlo methods, investigating the problems of performing sequential filtering and smoothing in complex examples, where current methods often fail. We consider various approaches for approximating posterior distributions using SMC. Our approaches, with some theoretical discussion are illustrated on a doubly stochastic point process applied in the context of finance.


Point processesSequential Monte CarloIntensity estimation

Copyright information

© The Institute of Statistical Mathematics, Tokyo 2012

Authors and Affiliations

  1. 1.Australian School of BusinessUniversity of New South WalesSydneyAustralia
  2. 2.Department of Statistics and Applied ProbabilityNational University of SingaporeSingaporeSingapore
  3. 3.Department of MathematicsImperial College LondonLondonUK