Poisson intensity estimation with reproducing Kernels
File(s)1610.08623.pdf (762.54 KB)
Accepted version
OA Location
Author(s)
Flaxman, SR
Teh, YW
Sejdinovic, D
Type
Journal Article
Abstract
Despite the fundamental nature of the inhomogeneous Poisson process in the theory and application of stochastic processes, and its attractive generalizations (e.g. Cox process), few tractable nonparametric modeling approaches of intensity functions exist, especially when observed points lie in a high-dimensional space. In this paper we develop a new, computationally tractable Reproducing Kernel Hilbert Space (RKHS) formulation for the inhomogeneous Poisson process. We model the square root of the intensity as an RKHS function. Whereas RKHS models used in supervised learning rely on the so-called representer theorem, the form of the inhomogeneous Poisson process likelihood means that the representer theorem does not apply. However, we prove that the representer theorem does hold in an appropriately transformed RKHS, guaranteeing that the optimization of the penalized likelihood can be cast as a tractable finite-dimensional problem. The resulting approach is simple to implement, and readily scales to high dimensions and large-scale datasets.
Date Issued
2017-12-15
Date Acceptance
2017-09-09
Citation
Electronic Journal of Statistics, 2017, 11 (2), pp.5081-5104
ISSN
1935-7524
Publisher
Institute of Mathematical Statistics
Start Page
5081
End Page
5104
Journal / Book Title
Electronic Journal of Statistics
Volume
11
Issue
2
Identifier
https://projecteuclid.org/euclid.ejs/1513306868#info
Subjects
0104 Statistics
Publication Status
Published
Date Publish Online
2017-12-15