A Monte Carlo method for filtering a marked doubly stochastic Poisson process.

Published in: Stat. Methods Appl. (2008)

Keyphrases

doubly stochastic
poisson process
monte carlo method
markov chain
monte carlo
arrival rate
steady state
lead time
posterior distribution
weight matrix
gaussian process
stationary distribution
stochastic process
mathematical models
machine learning
sample size
wavelet coefficients
higher order
state space
multiscale