Estimating the period of a cyclic non-homogeneous Poisson process

E.N. Belitser, P. Serra, H. van Zanten

Research output: Contribution to JournalArticleAcademicpeer-review

Abstract

Motivated by applications of Poisson processes for modelling periodic time-varying phenomena, we study a semi-parametric estimator of the period of cyclic intensity function of a non-homogeneous Poisson process. There are no parametric assumptions on the intensity function which is treated as an infinite dimensional nuisance parameter. We propose a new family of estimators for the period of the intensity function, address the identifiability and consistency issues and present simulations which demonstrate good performance of the proposed estimation procedure in practice. We compare our method to competing methods on synthetic data and apply it to a real data set from a call center. © 2012 Board of the Foundation of the Scandinavian Journal of Statistics.
Original languageEnglish
Pages (from-to)204-218
JournalScandinavian Journal of Statistics
Volume40
DOIs
Publication statusPublished - 2013

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