A Kalman filter for a Poisson series with covariates and Laplace approximation integration
by Donald Paul Gaver
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.
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A Kalman filter for a Poisson series with covariates and Laplace approximation integration
1991, Naval Postgraduate School, Available from National Technical Information Service
in English
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Book Details
Edition Notes
Title from cover.
"NPS-OR-91-030."
"September 1991."
AD A242 960.
Includes bibliographical references (p. 36-37)
aq/ /aq cc:9116 12/08/97
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