A Haar-Fisz Algorithm for Poisson Intensity Estimation

@inproceedings{Piotr2006AHA,
  title={A Haar-Fisz Algorithm for Poisson Intensity Estimation},
  author={Piotr},
  year={2006}
}
  • Piotr
  • Published 2006
This article introduces a new method for the estimation of the intensity of an inhomogeneous one-dimensional Poisson process. The Haar-Fisz transformation transforms a vector of binned Poisson counts to approximate normality with variance one. Hence we can use any suitable Gaussian wavelet shrinkage method to estimate the Poisson intensity. Since the Haar-Fisz operator does not commute with the shift operator we can dramatically improve accuracy by always cycle spinning before the Haar-Fisz… CONTINUE READING
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