Fernández-Alcalá, R.M. Navarro-Moreno, J. Ruiz-Molina, J.C.
Abstract
Efficient computational algorithms for making inferences about the intensity process of an observed doubly stochastic multichannel Poisson process are designed. The proposed solution is based on a numerical version of principal component analysis (PCA) of stochastic processes and hence it can be applied simply with knowledge of the first- and second-order moments of the intensity process of interest. The technique provided is valid for solving all types of estimation problems: filtering, prediction and smoothing.
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Volume (Year): 53 (2009) Issue (Month): 12 (October) Pages: 4322-4331 Download reference. The following formats are available: HTML
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