Nonparametric methods for forecasting the Cox process

Ken Hutchison, Thomas Reed Willemain

Research output: Contribution to conferencePaperpeer-review

Abstract

A Cox process is a Poisson process whose parameter is itself a stochastic process. Current methods used to estimate the underlying intensity process, such as principal component analysis, Markov chain Monte Carlo methods, and maximum likelihood estimation, are limited by memory requirements and computational times to small problems. We introduce a computationally efficient, nonparametric estimation method, REX (Reversed Exponential Smoothing) that allows for the analysis of much larger problems. We report the results of a factorial experiment to test the accuracy of these methods when the underlying intensity is generated by a higher-order autoregressive process. We assess accuracy using Kullback-Liebler Divergence[1].

Original languageEnglish (US)
Pages2590-2599
Number of pages10
StatePublished - Jan 1 2013
EventIIE Annual Conference and Expo 2013 - San Juan, Puerto Rico
Duration: May 18 2013May 22 2013

Other

OtherIIE Annual Conference and Expo 2013
CountryPuerto Rico
CitySan Juan
Period5/18/135/22/13

All Science Journal Classification (ASJC) codes

  • Industrial and Manufacturing Engineering

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