Recursive estimation of parameters in Markov-modulated Poisson processes
A hidden Markov regime is a Markov process that governs the time or space dependent distributions of an observed stochastic process. Recursive algorithms can be used to estimate parameters in mixed distributions governed by a Markov regime. Here we derive a recursive algorithm for estimation of parameters in a Markov-modulated Poisson process also called a Cox point process. By this we mean a doub
