Nonparametric estimation of Mark's distribution of an exponential shot-noise process

DOI10.1214/15-EJS1103MaRDI QIDQ906306zbMATH OpenOpenAlexFDO

Authors Paul Ilhe, Eric Moulines, François Roueff, Antoine Souloumiac

Publication date 21 January 2016

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

Full work available at URL https://arxiv.org/abs/1506.08047, https://projecteuclid.org/euclid.ejs/1453298266

zbMATH Keywords

\(\beta\)-mixingempirical processesLévy-driven Ornstein-Uhlenbeck processMarkov processnonparametric estimationshot-noise

Mathematics Subject Classification ID

Inverse problems for integral equations (45Q05) Stationary stochastic processes (60G10) Density estimation (62G07) Markov processes: estimation; hidden Markov models (62M05)

Abstract: In this paper, we consider a nonlinear inverse problem occurring in nuclear science. Gamma rays randomly hit a semiconductor detector which produces an impulse response of electric current. Because the sampling period of the measured current is larger than the mean inter arrival time of photons, the impulse responses associated to different gamma rays can overlap: this phenomenon is known as pileup. In this work, it is assumed that the impulse response is an exponentially decaying function. We propose a novel method to infer the distribution of gamma photon energies from the indirect measurements obtained from the detector. This technique is based on a formula linking the characteristic function of the photon density to a function involving the characteristic function and its derivative of the observations. We establish that our estimator converges to the mark density in uniform norm at a logarithmic rate. A limited Monte-Carlo experiment is provided to support our findings.

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Cited in

(3)

• On the Markov model of shot noise
• Nonparametric inference on Lévy measures of compound Poisson-driven Ornstein-Uhlenbeck processes under macroscopic discrete observations
• Nonparametric inference of photon energy distribution from indirect measurement

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