An algorithm for nonparametric Bayesian estimation of a Poisson intensity (Q1381516)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An algorithm for nonparametric Bayesian estimation of a Poisson intensity |
scientific article |
Statements
An algorithm for nonparametric Bayesian estimation of a Poisson intensity (English)
0 references
17 March 1998
0 references
A nonparametric Bayesian algorithm is described for the estimation of intensity of a non-homogeneous Poisson process. The unknown intensity is approximated by a picewise constant function. The number of jumps as well as jump points and levels of the estimator are selected by an iterative Monte-Carlo algorithm based on the ratios of prior and posterior densities. Results of simulations are presented.
0 references
non-homogeneous Poisson processes
0 references
intensity
0 references
Monte-Carlo algorithms
0 references
nonparametric Bayesian estimation
0 references
