Optimal estimation of Poisson rate from discrete time observations

TitleOptimal estimation of Poisson rate from discrete time observations
Publication TypeConference Paper
Year of Publication1997
AuthorsElliott, R. J., V. Krishnamurthy, and J. H. Manton
Conference NameCommunications, 1997. ICC 97 Montreal, 'Towards the Knowledge Millennium'. 1997 IEEE International Conference on
Pagination1392 -1395 vol.3
Date Publishedjun.
Keywordsdiscrete time filters, discrete time observations, Edgeworth series expansion, estimation theory, Gaussian processes, linear Gaussian dynamical system, optimal estimation, optimal filter, Poisson process, Poisson rate, signal model, signal representation, stochastic processes, suboptimal filter

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


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