Estimating the parameters of a seasonal Markov-modulated Poisson process
Résumé
Motivated by seasonality and regime-switching features of some insurance claim counting processes, we study the statistical analysis of a Markov-modulated Poisson process featuring seasonality. We prove the strong consistency and the asymptotic normality of a maximum split-time likelihood estimator of the parameters of this model, and present an algorithm to compute it in practice. The method is illustrated on a small simulation study and a real data analysis.
| Origine | Fichiers produits par l'(les) auteur(s) |
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