Prediction of Shot Noise
نویسندگان
چکیده
Prediction of future values of a shot noise process observed on a discrete lattice of points is considered. The shot magnitudes are assumed to be independent and identically distributed and arrive via a Poisson process; the eeect of each shot dissipates and/or accumulates according to a known shot function. Conditional mean and linear point predictors of future process values are developed. Distributional prediction, obtained through saddle-point approximation of the conditional distributions of the process, is also explored.
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