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Filtering and change point estimation for hidden Markov-modulated Poisson processes

โœ Scribed by Elliott, Robert J.; Siu, Tak Kuen

Book ID
121984048
Publisher
Elsevier Science
Year
2014
Tongue
English
Weight
375 KB
Volume
28
Category
Article
ISSN
0893-9659

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Consider an inhomogeneous Poisson process X on [0; T ] whose unknown intensity function 'switches' from a lower function g \* to an upper function h \* at some unknown point # \* . Here, # \* is a random variable. What is known are continuous bounding functions g and h such that g \* (t) 6 g(t) ยก h(