A wavelet based likelihood ratio test for the homogeneity of poisson processes
File(s)ieee_paper2.pdf (211.07 KB)
Accepted version
Author(s)
Taleb, Y
Cohen, E
Type
Conference Paper
Abstract
Estimating the rate (first-order intensity) of a point process is a task of great interest in the understanding of its nature. In this work we first address the estimation of the rate of an orderly point process on the real line using a multiresolution wavelet expansion approach. Implementing Haar wavelets, we find that in the case of a Poisson process the piecewise constant wavelet estimator of the rate has a scaled Poisson distribution. We apply this result in the design of a likelihood ratio test for a multiresolution formulation of the homogeneity of a Poisson process. We demonstrate this method with simulations and provide Type 1 error and empirical power plots under specific models.
Date Issued
2016-08-25
Date Acceptance
2016-04-27
Citation
Proceedings of the 2016 IEEE Statistical Signal Processing Workshop (SSP), 2016
ISBN
978-1-4673-7803-1
Publisher
IEEE
Journal / Book Title
Proceedings of the 2016 IEEE Statistical Signal Processing Workshop (SSP)
Copyright Statement
© 2016 IEEE. Personal use of this material is permitted. Permission from IEEE must be obtained for all other uses, in any current or future media, including reprinting/republishing this material for advertising or promotional purposes, creating new collective works, for resale or redistribution to servers or lists, or reuse of any copyrighted component of this work in other works.
Source
2016 IEEE Statistical Signal Processing Workshop (SSP)
Publication Status
Published
Start Date
2016-06-26
Finish Date
2016-06-29
Coverage Spatial
Majorca, Spain