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تسجيل مستخدم جديدEstimation of Poisson arrival processes under linear models
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In this paper we consider the problem of estimating the parameters of a Poisson arrival process where the rate function is assumed to lie in the span of a known basis. Our goal is to estimate the basis expansions coefficients given a realization of this process. We establish novel guarantees concerning the accuracy achieved by the maximum likelihood estimate. Our initial result is near-optimal, with the exception of an undesirable dependence on the dynamic range of the rate function. We then show how to remove this dependence through a process of noise regularization, which results in an improved bound. We conjecture that a similar guarantee should be possible when using a more direct (deterministic) regularization scheme. We conclude with a discussion of practical applications and an empirical examination of the proposed regularization schemes.
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