Prediction of Shot Noise

Author

Robert B. Lund
Ronald W. Butler
Robert Paige L., Missouri University of Science and TechnologyFollow

Abstract

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.

Recommended Citation

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

Department(s)

Mathematics and Statistics

Keywords and Phrases

prediction; shot noise; mean squared error; saddlepoint a[pproximation

International Standard Serial Number (ISSN)

0021-9002

Document Type

Article - Journal

Document Version

Citation

File Type

text

Language(s)

English

Rights

© 1999 Applied Probability Trust, All rights reserved.

Publication Date

01 Jan 1999