Discrete Appoximation in the Innovation Theory of Second-order Continuous Processes
Zoran Ivković (1989)
Publications de l'Institut Mathématique
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Displaying similar documents to “Discrete approximation in the innovation theory of second-order continuous processes.”
Discrete Appoximation in the Innovation Theory of Second-order Continuous Processes
Discrete approximation in the innovation theory of second-order continuous processes.
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The notion of the counting process is recalled and the idea of the ‘cumulative’ process is presented. While the counting process describes the sequence of events, by the cumulative process we understand a stochastic process which cumulates random increments at random moments. It is described by an intensity of the random (counting) process of these moments and by a distribution of increments. We derive the martingale – compensator decomposition of the process and then we study the estimator...