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
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;
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
DOI :
10.1109/ICC.1997.595017
