Prediction of Shot Noise
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 to arrive via a Poisson process; the effect 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 saddlepoint approximation of the conditional distributions of the process, is also explored.
R. B. Lund et al., "Prediction of Shot Noise," Journal of Applied Probability, Applied Probability Trust, Jan 1999.
The definitive version is available at https://doi.org/10.1239/jap/1032374459
Mathematics and Statistics
Keywords and Phrases
prediction; shot noise; mean squared error; saddlepoint a[pproximation
Article - Journal
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