Nonparametric likelihood based estimation of linear filters for point processes

DOI10.1007/S11222-014-9452-6zbMATH Open1331.62195arXiv1304.0503OpenAlexW2164844205MaRDI QIDQ5963732FDOQ5963732

Niels Richard Hansen

Publication date: 23 February 2016

Published in: Statistics and Computing (Search for Journal in Brave)

Abstract: We consider models for multivariate point processes where the intensity is given nonparametrically in terms of functions in a reproducing kernel Hilbert space. The likelihood function involves a time integral and is consequently not given in terms of a finite number of kernel evaluations. The main result is a representation of the gradient of the log-likelihood, which we use to derive computable approximations of the log-likelihood and the gradient by time discretization. These approximations are then used to minimize the approximate penalized log-likelihood. For time and memory efficiency the implementation relies crucially on the use of sparse matrices. As an illustration we consider neuron network modeling, and we use this example to investigate how the computational costs of the approximations depend on the resolution of the time discretization. The implementation is available in the R package ppstat.

Full work available at URL: https://arxiv.org/abs/1304.0503

zbMATH Keywords

reproducing kernel Hilbert spacespenalizationmultivariate point processes

Mathematics Subject Classification ID

Nonparametric estimation (62G05)

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Cited In (3)

• ppstat
• Suboptimal nonlinear filtering of the rate of an observed point process
• Filtering of derived point processes

Uses Software

• R
• ElemStatLearn
• PRMLT

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