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An on-line parameter estimation algorithm for counting process observations (Corresp.)

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1 Author(s)

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.

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IEEE Transactions on Information Theory  (Volume:32 ,  Issue: 2 )