 Counting-process martingale

If a counting process $N$ has predictable conditional intensity $\lambda$, subtracting its compensator of a counting process gives the associated martingale $M$. Conditional expected event increments and compensator increments agree, so their difference is conditionally centered. With the necessary integrability, $M$ is a mean-zero martingale; for a simple no-ties process its predictable quadratic variation is ${\int }_0^t\lambda (u)du$. A predictable weighted martingale integral has mean zero and variance determined by the square of its weights. In survival analysis, $\lambda =Yh$ produces the event-minus-expected representation used to derive the Nelson–Aalen estimator.