Hazard rate model and statistical analysis of a compound point process
Result description
A stochastic process cumulating random increments at random moments is studied. We model it as a two-dimensional random point process and study its growth intensity. First, a rather general model allowing for the dependence of both components matually aswell as on covariates is formulated, then the case where the increments depend on time is analyzed with the aid of the multiplicative hazard regression model. Special attention is devoted to the problem of prediction of process behaviour.
Keywords
couting processcompound processCox regression modelintensity
The result's identifiers
Result code in IS VaVaI
Result on the web
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DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
Hazard rate model and statistical analysis of a compound point process
Original language description
A stochastic process cumulating random increments at random moments is studied. We model it as a two-dimensional random point process and study its growth intensity. First, a rather general model allowing for the dependence of both components matually aswell as on covariates is formulated, then the case where the increments depend on time is analyzed with the aid of the multiplicative hazard regression model. Special attention is devoted to the problem of prediction of process behaviour.
Czech name
Model intenzity a statistická analýza složeného bodového procesu
Czech description
V práci je studován proces kumulující náhodné přírůstky v náhodných časech - složený bodový proces. Je popsán jako dvourozměrný bodový proces a navržen model jeho intenzity, jejíž obě složky jsou vzájemně závislé. Je formulován jednak obecný případ, pakje rozebírán případ, kdy přírůstky závisí na čase. Je využit regresní model Coxova typu a odvozena konzistence odhadů, a to i pro neparametrickou verzi. Nakonec je studován problém predikce vývoje procesu.
Classification
Type
Jx - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)
CEP classification
BB - Applied statistics, operational research
OECD FORD branch
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Result continuities
Project
GA402/04/1294: Stochastic decision approaches in nonlinear economic models
Continuities
Z - Vyzkumny zamer (s odkazem do CEZ)
Others
Publication year
2005
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Kybernetika
ISSN
0023-5954
e-ISSN
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Volume of the periodical
41
Issue of the periodical within the volume
6
Country of publishing house
CZ - CZECH REPUBLIC
Number of pages
14
Pages from-to
773-786
UT code for WoS article
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EID of the result in the Scopus database
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Basic information
Result type
Jx - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)
CEP
BB - Applied statistics, operational research
Year of implementation
2005