Parameter Estimation for a Two-State Semi-Markov Model of a Univariate Point Process.
Abstract
Using the convenient second-order interval properties of a two-state semi-Markov model for a univariate point process, an automated technique for the estimation of the parameters in the model was researched and discussed. The power spectral density of intervals was estimated by the periodogram and a Kolmogorov-Smirnov test of fit was conducted. The asymptotic exponential distribution and independence of the periodogram points were used to calculate an approximate likelihood function. A system of equations was then formed to find the maximum likelihood estimates of the parameters. (Modified author abstract)
Document Details
- Document Type
- Technical Report
- Publication Date
- Mar 01, 1974
- Accession Number
- AD0776537
Entities
People
- James Leroy Hornback
Organizations
- Naval Postgraduate School