A Kalman filter for a Poisson series with covariates and Laplace approximation integration
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A Kalman filter for a Poisson series with covariates and Laplace approximation integration
- Publication date
- 1991-09
- Topics
- KALMAN FILTERING., TIME SERIES ANALYSIS., MATHEMATICAL PREDICTION., APPROXIMATION(MATHEMATICS)
- Publisher
- Monterey, California : Naval Postgraduate School
- Collection
- navalpostgraduateschoollibrary; fedlink; americana
- Contributor
- Naval Postgraduate School, Dudley Knox Library
- Language
- en_US
Title from cover
"NPS-OR-91-030."
"September 1991."
AD A242 960
Includes bibliographical references (p. 36-37)
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
aq/ /aq cc:9116 12/08/97
"NPS-OR-91-030."
"September 1991."
AD A242 960
Includes bibliographical references (p. 36-37)
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
aq/ /aq cc:9116 12/08/97
Notes
some content may be lost due to the binding of the book.
- Addeddate
- 2013-01-16 17:08:23
- Associated-names
- Jacobs, Patricia A; Naval Postgraduate School (U.S.). Dept. of Operations Research
- Call number
- ocn640488060
- Camera
- Canon EOS 5D Mark II
- Contributor_corporate
- Naval Postgraduate School (U.S.). Dept. of Operations Research.
- External-identifier
-
urn:handle:10945/29941
urn:oclc:record:1047491637
- Foldoutcount
- 0
- Format_extent
- i, 44 p. : ill. ; 28 cm.
- Identifier
- kalmanfilterforp00gave
- Identifier-ark
- ark:/13960/t4gm9hv9m
- Identifier_npsreport
- NPS-OR-91-030
- Identifier_oclc
- ocn640488060
- Ocr_converted
- abbyy-to-hocr 1.1.37
- Ocr_module_version
- 0.0.21
- Openlibrary_edition
- OL25460985M
- Openlibrary_work
- OL16835046W
- Page-progression
- lr
- Page_number_confidence
- 71
- Page_number_module_version
- 1.0.3
- Pages
- 62
- Ppi
- 350
- Republisher_date
- 20130117160233
- Republisher_operator
- associate-karina-martinez@archive.org
- Scandate
- 20130116184709
- Scanner
- scribe14.sanfrancisco.archive.org
- Scanningcenter
- sanfrancisco
- Type
- Technical Report
- Full catalog record
- MARCXML
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