A Kalman filter for a Poisson series with covariates and Laplace approximation integration
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Author
Contributions
- Jacobs, Patricia A. - Contributor
- Naval Postgraduate School (U.S.). Dept. of Operations Research - Contributor
Publication
1991 - Naval Postgraduate School, Monterey, Calif, California
Language
English
Word Count
11,000 words, Guess
Page Count
44 pages
Identifiers
- Open LibraryOL25460985M
- Internet Archivekalmanfilterforp00gave
Alternate Titles
- NPS-OR-91-030.
Description
A hierarchical model for a Poisson time series is introduced. The model allows the mean or rate of the Poisson variables to vary slowly in time; it is modeled as the exponential of an AR/1 process. In addition the rate is influenced by a covariate. The Laplace method is used to recursively update some model parameter estimates. Frankly heuristic methods are explored to estimate other of the underlying parameters. The methodology is checked against simulated data with encouraging results.
Subjects
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