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

Previous Articles     Next Articles

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

PDF (PC)

830

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
[1] 马明.自激滤过的泊松过程[J].吉林大学学报(理学版),2009,47(4):711-716. MA Ming. Self-exciting filtered Poisson process[J]. Journal of Jilin University(Science Edition), 2009, 47(4):711-716.
[2] 邓永录.随机点过程及其应用[M].北京:科学出版社,1992. DENG Yonglu. Stochastic point process and its application[M]. Beijing: Science Press, 1992.
[3] 郑莹,马明.自激滤过的泊松过程的二阶矩[J].山东大学学报(理学版),2013,48(9):35-39. ZHENG Ying, MA Ming. Second moment of self-exciting filter Possion process[J]. Journal of Shandong University(Natural Science), 2013, 48(9):35-39.
[4] ALFRED O H. Parameter estimation for multi-dimensional filtered Poisson processes[R]. St Louis MO: Workshop to Honor Donald Snyder, 2000.
[5] BOUZAS P R, VALDERRAMA M J, AGUILERA A M. A theoretical note on the distribution of a filtered compound doubly stochastic Poisson process[J]. Applied Mathematical Modelling, 2004, 28(8):769-773.
[6] 杨戈峰,焦万堂.股票市场政策影响模型及其参数估计[J].吉首大学学报(自然科学版),2006,27(2):28-30. YANG Gefeng, JIAO Wantang. A model of effects of policy on stock market and its parameters estimation[J]. Journal of Jishou University(Natural Science Edition), 2006, 27(2):28-30.
[7] LEFEBVRE M, GUILBAULT J L. Using filtered Poisson processes to model a river flow[J]. Applied Mathematical Modelling, 2008, 32(12):2792-2805.
[8] 柯俊斌.指数-滤过Poisson过程模型结构可靠性设计[J].工程数学学报,2009,26(2):361-364. KE Junbin. Design of structural reliability for exponential-filtered Possion process model[J]. Chinese Journal of Engineering Mathematics, 2009, 26(2):361-364.
[9] YUE Junyin, YUE Li, BULLEIT W M. Stochastic modeling of snow loads using a filtered Poisson process[J]. Journal of Cold Regions Engineering, 2011, 25(1):16-36.
[10] KOMAEE A. Estimation of a low-intensity filtered Poisson process in additive white Gaussian noise[J]. IEEE Transactions on Automatic Control, 2012, 57(10):2518-2531.
[11] HERRERA R. Energy risk management through self-exciting marked point process[J]. Energy Economics, 2013, 38(4):64-76.
[1] CHEN Jia, YAN Huichao, LIU Youjun. (s,t)-weak tractability of multivariate approximation problems in the average case setting [J]. JOURNAL OF SHANDONG UNIVERSITY(NATURAL SCIENCE), 2026, 61(2): 50-57.
[2] YE Jian-hua, ZHENG Ying, LIU Hua. Covariance of the marked process of censored δ-shock model [J]. JOURNAL OF SHANDONG UNIVERSITY(NATURAL SCIENCE), 2019, 54(7): 113-116.
[3] 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.
[4] ZHENG Ying, MA Ming*. Second moment of selfexciting filter poisson process [J]. J4, 2013, 48(09): 35-39.
[5] . [J]. J4, 2009, 44(1): 83-90 .
Viewed
Full text


Abstract

Cited
  Shared   
  Discussed   
No Suggested Reading articles found!
Copyright 2018 © Editorial office of JOURNAL OF SHANDONG UNIVERSITY(NATURAL SCIENCE)
Supported by Beijing Magtech Co.Ltd