Multivariate Dynamic Intensity Models

Abstract

This chapter presents dynamic parameterizations of the intensity function. We model the intensity in continuous time which allows to update the intensity process whenever required. This is in contrast to Chaps. 5, 6 and 10 discussing discrete-time processes which are only updated at discrete points in time. Moreover, instead of specifying a model for durations (Chaps. 5 and 6) or the integrated (baseline) hazard function (Chap. 10), we discuss dynamic models which are built directly on the intensity. As illustrated in this and the next chapter, such a framework yields a valuable approach to account for time-varying covariates and multivariate structures.