Accession Number:

ADA242960

Title:

A Kalman Filter for a Poisson Series with Covariates and Laplace Approximation Integration

Descriptive Note:

Technical rept.

Corporate Author:

NAVAL POSTGRADUATE SCHOOL MONTEREY CA DEPT OF OPERATIONS RESEARCH

Report Date:

1991-09-01

Pagination or Media Count:

60.0

Abstract:

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 AR1 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.

Subject Categories:

  • Numerical Mathematics
  • Statistics and Probability

Distribution Statement:

APPROVED FOR PUBLIC RELEASE