Optimal estimation of Poisson rate from discrete time observations
Robert James Elliott, Vikram Krishnamurthy, Jonathan H. Manton · 2002
A discrete time Poisson process whose rate evolves as the square of the state of a linear Gaussian dynamical system is studied. An optimal filter is derived, yielding real-time estimates of the Poisson rate. Also a suboptimal filter based on an Edgeworth series expansion is derived.