Predicting a cyclic Poisson process

Roelof Helmers () and I. Mangku ()

Annals of the Institute of Statistical Mathematics, 2012, vol. 64, issue 6, 1279 pages

Abstract: We construct and investigate a (1−α)-upper prediction bound for a future observation of a cyclic Poisson process using past data. A normal based confidence interval for our upper prediction bound is established. A comparison of the new prediction bound with a simpler nonparametric prediction bound is also given. Copyright The Institute of Statistical Mathematics, Tokyo 2012

Keywords: Poisson process; Cyclic intensity function; Prediction upper bound; Confidence interval; Consistency; Asymptotic normality (search for similar items in EconPapers)
Date: 2012
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DOI: 10.1007/s10463-012-0349-x

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