Imperial College London
Portrait Picture

Dr Ed Cohen

Faculty of Natural Sciences, Department of Mathematics

Reader in Statistics
 
 
 
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Contact

 

+44 (0)20 7594 3986e.cohen

 
 
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Location

 

536Huxley BuildingSouth Kensington Campus

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Summary

 

Publications

Citation

BibTex format

@inproceedings{Taleb:2016:10.1109/SSP.2016.7551768,
author = {Taleb, Y and Cohen, E},
doi = {10.1109/SSP.2016.7551768},
publisher = {IEEE},
title = {A wavelet based likelihood ratio test for the homogeneity of poisson processes},
url = {http://dx.doi.org/10.1109/SSP.2016.7551768},
year = {2016}
}
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RIS format (EndNote, RefMan)

TY  - CPAPER
AB  - Estimating the rate (first-order intensity) of a point process is a task of great interest in the understanding of its nature. In this work we first address the estimation of the rate of an orderly point process on the real line using a multiresolution wavelet expansion approach. Implementing Haar wavelets, we find that in the case of a Poisson process the piecewise constant wavelet estimator of the rate has a scaled Poisson distribution. We apply this result in the design of a likelihood ratio test for a multiresolution formulation of the homogeneity of a Poisson process. We demonstrate this method with simulations and provide Type 1 error and empirical power plots under specific models.
AU  - Taleb,Y
AU  - Cohen,E
DO  - 10.1109/SSP.2016.7551768
PB  - IEEE
PY  - 2016///
TI  - A wavelet based likelihood ratio test for the homogeneity of poisson processes
UR  - http://dx.doi.org/10.1109/SSP.2016.7551768
UR  - http://hdl.handle.net/10044/1/32818
ER  -
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