Skip to main content
Log in

Functional approach to the random mean of a compound Cox process

  • Original Paper
  • Published:
Computational Statistics Aims and scope Submit manuscript

Abstract

The parametric process and counting statistics of a marked point process whose marks belong to a given subset of the mark space of a compound Cox process are derived in this paper by means of functional data analysis. They are illustrated by means of an example and simulation study with different intensity processes for the CCP.

This is a preview of subscription content, log in via an institution to check access.

Access this article

Price excludes VAT (USA)
Tax calculation will be finalised during checkout.

Instant access to the full article PDF.

Similar content being viewed by others

References

  • Barta P, Miller MI, Qiu A (2005) A stochastic model for studying the laminar structure of cortex from MRI. IEEE Trans Med Imaging 24:728–742

    Article  Google Scholar 

  • Borak S, Detlefsen K, Härdle W (2005) FFT based option pricing. SFB 649 Discussion Paper

  • Bouzas PR, Valderrama MJ, Aguilera AM (2004) A theoretical note on the distribution of a filtered compound doubly stochastic Poisson process. Appl Math Model 28:769–773

    Article  MATH  Google Scholar 

  • Bouzas PR, Aguilera AM, Valderrama MJ, Ruiz-Fuentes N (2005) Functional estimation of the intensity of a doubly stochastic Poisson process. In: 3rd IASC World conference on computational statistics and data analysis, Limassol, Cyprus, pp 28–31

  • Bouzas PR, Valderrama MJ, Aguilera AM, Ruiz-Fuentes N (2006a) On the structure of the stochastic process of mortgages in Spain. Comput Stat 21:73–89

    Article  MATH  Google Scholar 

  • Bouzas PR, Valderrama MJ, Aguilera AM, Ruiz-Fuentes N (2006b) Modelling the mean of a doubly stochastic Poisson process by functional data analysis. Comput Stat Data Anal 21:2655–2667

    Article  Google Scholar 

  • Bouzas PR, Valderrama MJ, Aguilera AM (2006c) On the characteristic functional of a doubly stochastic Poisson process: application to a narrow-band process. Appl Math Model 30:1021–1032

    Article  Google Scholar 

  • Brèmaud P (1981) Point processes and queues: martingale dynamics. Springer, New York

    MATH  Google Scholar 

  • Brix A (2002) Spatio-temporal modelling of weeds by shot-noise G Cox processes. Biom J 44:83–99

    Article  MATH  Google Scholar 

  • Daley DJ, Vere-Jones D (1988) An introduction to the theory of point processes. Springer, New York

    MATH  Google Scholar 

  • Economou A (2003) On the control of a compound inmigration process through total catastrophes. Eur J Oper Res 147:522–529

    Article  MATH  Google Scholar 

  • García R, Ghysels E, Renault E (2004) The econometrics of option pricing. CIRANO Scientific Series

  • Gospodinov D, Rotondi R (2001) Exploratory analysis of marked Poisson processes applied to Balkan earthquake sequences. J Balkan Geophys Soc 4:61–68

    Google Scholar 

  • Last G, Brandt A (1995) A marked point processes on the real line. (The dynamic approach.) Springer, New York

    Google Scholar 

  • Lin XS, Pavlova KP (2006) The compound Poisson risk model with a threshold dividend. Insur Math Econ 38:57–80

    Article  MATH  Google Scholar 

  • Møller J, Waagepetersen RP (2004) Statistical inference and simulation for spatial point processes. Chapman and Hall/CRC, London/Boca Raton

    Google Scholar 

  • Ocaña FA (1996) Alternativas geométricas en el ACP de una variable aleatoria Hilbertiana. Tesis Doctoral de la Universidad de Granada

  • Ramsay JO, Silverman BM (1997) Functional data analysis. Springer, New York

    MATH  Google Scholar 

  • Snyder DL, Miller MI (1991) Random point processes in time and space, 2nd edn. Springer, New York

    MATH  Google Scholar 

Download references

Author information

Authors and Affiliations

Authors

Corresponding author

Correspondence to P. R. Bouzas.

Additional information

This work was partially supported by projects MTM2004-05992 of Dirección General de Investigación, and MTM2004-04230 of Plan Nacional de I+D+I, Ministerio de Ciencia y Tecnología jointly by the FEDER.

Rights and permissions

Reprints and permissions

About this article

Cite this article

Bouzas, P.R., Ruiz-Fuentes, N. & Ocaña, F.M. Functional approach to the random mean of a compound Cox process. Computational Statistics 22, 467–479 (2007). https://doi.org/10.1007/s00180-007-0052-1

Download citation

  • Published:

  • Issue Date:

  • DOI: https://doi.org/10.1007/s00180-007-0052-1

Keywords

Navigation