Title :
Estimation of the density of the filtered Poisson impulse process: a parametric approach
Author :
Mino, Hiroyuki ; Yana, Kazuo
Author_Institution :
Dept. of Physiol., Jutendo Univ., Tokyo, Japan
fDate :
4/1/1993 12:00:00 AM
Abstract :
The Poisson driven pth order autoregressive (PDAR(p )) process is defined as the output of a continuous-time autoregressive system, driven by a stationary Poisson impulse process. An explicit formula for estimating the density of the Poisson impulse process is derived by combining the second- and third-order cumulants of the discretized PDAR(p) process. The validity of the proposed method is assessed through Monte Carlo simulations in some specific examples
Keywords :
filtering and prediction theory; parameter estimation; signal processing; statistical analysis; Monte Carlo simulations; Poisson driven autoregressive process; continuous-time autoregressive system; density; filtered Poisson impulse process; parameter estimation; second order cumulants; stationary Poisson impulse process; third-order cumulants; Cities and towns; Convolution; Data mining; Equations; Frequency; Physiology; Polynomials; Sampling methods; Signal sampling; Stochastic processes;
Journal_Title :
Signal Processing, IEEE Transactions on
