Poisson intensity estimation with reproducing kernels

DOI10.1214/17-EJS1339SIMaRDI QIDQ1688983zbMATH OpenOpenAlexFDO

Authors Yee Whye Teh, Dino Sejdinovic, Seth R. Flaxman

Publication date 12 January 2018

Published in Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1610.08623, https://projecteuclid.org/euclid.ejs/1513306868

zbMATH Keywords

reproducing kernel Hilbert spacespatial statisticsnonparametric statisticscomputational statisticsintensity estimationinhomogeneous Poisson processes

Mathematics Subject Classification ID

Density estimation (62G07) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Hilbert spaces with reproducing kernels (= (proper) functional Hilbert spaces, including de Branges-Rovnyak and other structured spaces) (46E22)

Abstract: Despite the fundamental nature of the inhomogeneous Poisson process in the theory and application of stochastic processes, and its attractive generalizations (e.g. Cox process), few tractable nonparametric modeling approaches of intensity functions exist, especially when observed points lie in a high-dimensional space. In this paper we develop a new, computationally tractable Reproducing Kernel Hilbert Space (RKHS) formulation for the inhomogeneous Poisson process. We model the square root of the intensity as an RKHS function. Whereas RKHS models used in supervised learning rely on the so-called representer theorem, the form of the inhomogeneous Poisson process likelihood means that the representer theorem does not apply. However, we prove that the representer theorem does hold in an appropriately transformed RKHS, guaranteeing that the optimization of the penalized likelihood can be cast as a tractable finite-dimensional problem. The resulting approach is simple to implement, and readily scales to high dimensions and large-scale datasets.

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