DocumentCode
2228592
Title
Optimal estimation of Poisson rate from discrete time observations
Author
Elliott, Robert J. ; Krishnamurthy, Vikram ; Manton, Jonathan H.
Author_Institution
Dept. of Math. Sci., Alberta Univ., Edmonton, Alta., Canada
Volume
3
fYear
1997
fDate
8-12 Jun 1997
Firstpage
1392
Abstract
A discrete time Poisson process whose rate evolves as the square of the state of a linear Gaussian dynamical system is studied. An optimal filter is derived, yielding real-time estimates of the Poisson rate. Also a suboptimal filter based on an Edgeworth series expansion is derived
Keywords
Gaussian processes; discrete time filters; estimation theory; signal representation; stochastic processes; Edgeworth series expansion; Poisson process; Poisson rate; discrete time observations; linear Gaussian dynamical system; optimal estimation; optimal filter; signal model; suboptimal filter; Australia; Computer networks; History; Information processing; Nonlinear filters; Optical sensors; Signal processing; Statistics; Stochastic systems; Yield estimation;
fLanguage
English
Publisher
ieee
Conference_Titel
Communications, 1997. ICC '97 Montreal, Towards the Knowledge Millennium. 1997 IEEE International Conference on
Conference_Location
Montreal, Que.
Print_ISBN
0-7803-3925-8
Type
conf
DOI
10.1109/ICC.1997.595017
Filename
595017
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