Estimation of the density of the filtered Poisson impulse process:a parametric approach |
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| Authors: | Mino H. Yana K. |
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| Affiliation: | Dept. of Physiol., Jutendo Univ., Tokyo; |
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| Abstract: | The Poisson driven pth order autoregressive (PDAR(p )) process is defined as the output of a continuous-time autoregressive system, driven by a stationary Poisson impulse process. An explicit formula for estimating the density of the Poisson impulse process is derived by combining the second- and third-order cumulants of the discretized PDAR(p) process. The validity of the proposed method is assessed through Monte Carlo simulations in some specific examples |
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