We extend the prequential approach introduced by A. P. Dawid to continuous time marked pint processes. A prequential forecasting system is expressed by means of the stochastic intensities of the point process. The exact independence and 1-exponentiality of the derived compensators are used to assess the predictive performance of the model and the inferential procedure. Some key words : Bayesian inference; Goodness of fit; Marked pint process; Markov chain Monte Carlo; Prequential analysis
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Arjas et al. (1997) studied this question.
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