Skip Navigation

Biometrika 1992 79(1):39-50; doi:10.1093/biomet/79.1.39
© 1992 by Biometrika Trust
This Article
Right arrow Full Text (PDF)
Right arrow Alert me when this article is cited
Right arrow Alert me if a correction is posted
Services
Right arrow Email this article to a friend
Right arrow Similar articles in this journal
Right arrow Alert me to new issues of the journal
Right arrow Add to My Personal Archive
Right arrow Download to citation manager
Right arrowRequest Permissions
Google Scholar
Right arrow Articles by GAMERMAN, D.
Right arrow Search for Related Content
Social Bookmarking
Add to CiteULike   Add to Connotea   Add to Del.icio.us  
What's this?

A dynamic approach to the statistical analysis of point processes

DANI GAMERMAN

Departamento de Métodos Estatisticos, Instituto de Matemática, Universidade Federal do Rio de Janeiro 21944 Rio de Janeiro, RJ, Brazil

An approach to the analysis of point processes based on sequential analysis of successive intervals assuming a piecewise constant intensity rate is presented. Bayesian inference for processes with explanatory variables is derived in terms of on-line estimation, filtering and prediction. Limiting equations for the time-continuous intensity rate are obtained and solved for the no-covariates case. Examples are provided and the approach is applied in a numerical example.

Key Words: Intensity rate • Piecewise self-exciting process • Prediction • Smoothing • Time variation


Add to CiteULike CiteULike   Add to Connotea Connotea   Add to Del.icio.us Del.icio.us    What's this?




Disclaimer:
Please note that abstracts for content published before 1996 were created through digital scanning and may therefore not exactly replicate the text of the original print issues. All efforts have been made to ensure accuracy, but the Publisher will not be held responsible for any remaining inaccuracies. If you require any further clarification, please contact our Customer Services Department.