Conference Proceedings
Optimal estimation of Poisson rate from discrete time observations
RJ Elliott, V Krishnamurthy, JH Manton
IEEE International Conference on Communications | I E E E | Published : 1997
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.