Non-homogeneous Poisson process - estimation and simulation
| Autor: | Vedyushenko, Anna |
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| Přispěvatelé: | Pešta, Michal, Pawlas, Zbyněk |
| Jazyk: | angličtina |
| Rok vydání: | 2018 |
| Předmět: | |
| Popis: | This thesis covers non-homogeneous Poisson processes along with estimation of the intensity (rate) function and some selected simulation methods. In Chapter 1 the main properties of a non-homogeneous Poisson process are summarized. The main focus of Chapter 2 is the general maximum likelihood estimation procedure adjusted to a non-homogeneous Poisson process, together with some recommen- dations about calculation of the initial estimates of the intensity function param- eters. In Chapter 3 some general simulation methods as well as the methods designed specially for log linear and log quadratic rate functions are discussed. Chapter 4 contains the application of the described estimation and simulation methods on real data from non-life insurance. Furthermore, the considered sim- ulation methods are compared with respect to their time efficiency and accuracy of the simulations. 1 |
| Databáze: | OpenAIRE |
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