JOURNAL OF SHANDONG UNIVERSITY(NATURAL SCIENCE) ›› 2018, Vol. 53 ›› Issue (12): 75-79.doi: 10.6040/j.issn.1671-9352.0.2017.633

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Covariance of self-exciting filtered Poisson process

CHEN Hao-jun, ZHENG Ying, MA Ming*, BIAN Li-na, LIU Hua   

  1. School of Mathematics and Computer Science, Northwest Minzu University, Lanzhou 730030, Gansu, China
  • Online:2018-12-20 Published:2018-12-18

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Abstract: The expression of the covariance on the self-exciting filtered Poisson process is obtained by using the relationship between the characteristic function and the covariance and the properties of the multiple integral.

Key words: filtered Poisson process, characteristic function, covariance, self-exciting

CLC Number: 

  • O211
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[1] MA Ming, BIAN Li-na, LIU Hua. Low order moments of self-excited filtered Poisson processes based on joint distribution of event points [J]. JOURNAL OF SHANDONG UNIVERSITY(NATURAL SCIENCE), 2018, 53(4): 55-58.
[2] ZHENG Ying, MA Ming*. Second moment of selfexciting filter poisson process [J]. J4, 2013, 48(09): 35-39.
[3] . [J]. J4, 2009, 44(1): 83-90 .
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