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Nonlinear estimation problems of poisson cluster processes

  • Franz Konecny
Conference paper
Part of the Lecture Notes in Control and Information Sciences book series (LNCIS, volume 84)

Abstract

Doubly stochastic Poisson processes whose unobservable intensity is a shot-noise process with random amplitude arise when each event of a primary Poisson process generates a random number of subsidiary events. We derive a stochastic partial differential equation for the unnormalized conditional moment generating function. This equation can be used for recursive compution of the minimum variance estimator of the unobservable intensity as well as the likelihood ratio with respect to the reference measure, on the basis of point process observations.

Keywords

Poisson Process Point Process Stochastic Partial Differential Equation Random Amplitude Stochastic Intensity 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer-Verlag 1986

Authors and Affiliations

  • Franz Konecny
    • 1
  1. 1.Institut für Mathematik u. Angewandte StatistikUniversität für Bodenkultur - WienWienAustria

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