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Multiresolution Intensity Estimation of Piecewise Linear Poisson Processes

By R. M. Willett

Abstract

Given observations of a one-dimensional piecewise linear, length-M Poisson intensity function, our goal is to estimate both the partition points and the parameters of each segment. In order to determine where the breaks lie, we develop a maximum penalized likelihood estimator (MPLE) based on information-theoretic complexity penalization. We construct a probabilistic model of the observations within a multiscale framework, and use this framework to devise a computationally efficient optimization algorithm, based on a tree-pruning approach, to compute the MPLE

Year: 2007
OAI identifier: oai:CiteSeerX.psu:10.1.1.18.6319
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