An algorithm for nonparametric Bayesian estimation of a Poisson intensity (Q1381516)
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scientific article; zbMATH DE number 1129909
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An algorithm for nonparametric Bayesian estimation of a Poisson intensity |
scientific article; zbMATH DE number 1129909 |
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An algorithm for nonparametric Bayesian estimation of a Poisson intensity (English)
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17 March 1998
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A nonparametric Bayesian algorithm is described for the estimation of intensity of a non-homogeneous Poisson process. The unknown intensity is approximated by a picewise constant function. The number of jumps as well as jump points and levels of the estimator are selected by an iterative Monte-Carlo algorithm based on the ratios of prior and posterior densities. Results of simulations are presented.
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non-homogeneous Poisson processes
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intensity
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Monte-Carlo algorithms
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nonparametric Bayesian estimation
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