Model selection for Poisson processes with covariates

DOI10.1051/PS/2014022MaRDI QIDQ2786477zbMATH OpenOpenAlexFDO

Authors Mathieu Sart

Publication date 12 February 2016

Published in European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1112.5634

zbMATH Keywords

adaptive estimationmodel selectionPoisson processesT-estimator

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Nonparametric estimation (62G05) Markov processes: estimation; hidden Markov models (62M05)

Abstract: We observe $n$ inhomogeneous Poisson processes with covariates and aim at estimating their intensities. We assume that the intensity of each Poisson process is of the form $s(cdot,x)$ where $x$ is the covariate and where $s$ is an unknown function. We propose a model selection approach where the models are used to approximate the multivariate function $s$. We show that our estimator satisfies an oracle-type inequality under very weak assumptions both on the intensities and the models. By using an Hellinger-type loss, we establish non-asymptotic risk bounds and specify them under several kind of assumptions on the target function $s$ such as being smooth or a product function. Besides, we show that our estimation procedure is robust with respect to these assumptions.

Recommendations

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Cites work

• Adaptive estimation of the conditional intensity of marker-dependent counting processes
• Adaptive estimation of the intensity of inhomogeneous Poisson processes via concentration inequalities
• Estimating composite functions by model selection
• Estimating the intensity of a random measure by histogram type estimators
• Estimator selection with respect to Hellinger-type risks
• scientific article; zbMATH DE number 5769420 (Why is no real title available?)
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Cited in

(13)

• Adaptive estimation of the intensity of inhomogeneous Poisson processes via concentration inequalities
• Poisson intensity estimation with reproducing kernels
• Non-parametric Poisson regression from independent and weakly dependent observations by model selection
• Robust estimation on a parametric model via testing
• Modelling the effects of partially observed covariates on Poisson process intensity
• Estimation for the prediction of point processes with many covariates
• Compound Poisson Model with Covariates
• A new method for estimation and model selection: \(\rho\)-estimation
• Model selection for Poisson processes
• Estimating the conditional density by histogram type estimators and model selection
• Variable selection for first‐order Poisson integer‐valued autoregressive model with covariables
• Estimator selection with respect to Hellinger-type risks
• A simulation of the performance of \(C_{p}\) in model selection for logistic and Poisson regression

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