Monte Carlo likelihood inference for marked doubly stochastic Poisson processes with intensity driven by marked point processes
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Cited by:
- Alan Genaro & Adilson Simonis, 2015. "Estimating doubly stochastic Poisson process with affine intensities by Kalman filter," Statistical Papers, Springer, vol. 56(3), pages 723-748, August.
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More about this item
Keywords
Cox process; marked point process; reversible jump Markov chain Monte Carlo; shot noise process; ultra-high-frequency data;All these keywords.
JEL classification:
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
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