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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

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

Result continuities

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

  • 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

  • EID of the result in the Scopus database

Basic information

Result type

Jx - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)

Jx

CEP

BB - Applied statistics, operational research

Year of implementation

2005