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An EM algorithm for estimation in Markov-modulated Poisson processes

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  • Ryden, Tobias

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  • Ryden, Tobias, 1996. "An EM algorithm for estimation in Markov-modulated Poisson processes," Computational Statistics & Data Analysis, Elsevier, vol. 21(4), pages 431-447, April.
    • Handle: RePEc:eee:csdana:v:21:y:1996:i:4:p:431-447
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    References listed on IDEAS

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    1. Meier-Hellstern, K. S., 1987. "A fitting algorithm for Markov-modulated poisson processes having two arrival rates," European Journal of Operational Research, Elsevier, vol. 29(3), pages 370-377, June.
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    Cited by:

    1. Pawel Mrozowski & Andrzej Chydzinski, 2018. "Queues with Dropping Functions and Autocorrelated Arrivals," Methodology and Computing in Applied Probability, Springer, vol. 20(1), pages 97-115, March.
    2. Jonas Hallgren & Timo Koski, 2016. "Testing for Causality in Continuous Time Bayesian Network Models of High-Frequency Data," Papers 1601.06651, arXiv.org.
    3. Jane M. Lange & Rebecca A. Hubbard & Lurdes Y. T. Inoue & Vladimir N. Minin, 2015. "A joint model for multistate disease processes and random informative observation times, with applications to electronic medical records data," Biometrics, The International Biometric Society, vol. 71(1), pages 90-101, March.
    4. B. Houdt & J. Velthoven & C. Blondia, 2008. "QBD Markov chains on binomial-like trees and its application to multilevel feedback queues," Annals of Operations Research, Springer, vol. 160(1), pages 3-18, April.
    5. Shaochuan Lu, 2012. "Markov modulated Poisson process associated with state-dependent marks and its applications to the deep earthquakes," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 64(1), pages 87-106, February.

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