Estimation for nonhomogeneous Poisson processes from aggregated data

Estimation for nonhomogeneous Poisson processes from aggregated data

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Article ID: iaor20041371
Country: Netherlands
Volume: 31
Issue: 5
Start Page Number: 375
End Page Number: 382
Publication Date: Sep 2003
Journal: Operations Research Letters
Authors:
Keywords: Poisson process
Abstract:

A well-known heuristic for estimating the rate function or cumulative rate function of a nonhomogeneous Poisson process assumes that the rate function is piecewise constant on a set of data-independent intervals. We investigate the asymptotic (as the amount of data grows) behavior of this estimator in the case of equal interval widths, and show that it can be transformed into a consistent estimator if the interval lengths shrink at an appropriate rate as the amount of data grows.

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