Abstract
The parameter estimation problem for counting process observation is considered. It is assumed that the intensity of the counting process is adapted to the family of o-algebras generated by the counting process itself and that the intensity depends linearly on some deterministic constant parameters. An on-line parameter estimation algorithm is then presented for which convergence is proved by using a stochastic approximation type lemma.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have