01824nam 2200349 a 4500001001300000005001700013008004100030035000500071035000500076040002100081086002900102100002400131245013500155260013600290300003100426500002200457500002100479500002200500500001700522504005100539520052200590650002201112650002601134650002901160650003101189700002401220710006901244740001901313592003001332926005601362926005601418ocn64048806020100714094354.1971208s1991 caua b f000|0 eng d a a aCMontNPcCMontNP0 aD 208.14/2:NPS-OR-91-0301 aGaver, Donald Paul.12aA Kalman filter for a Poisson series with covariates and Laplace approximation integration /cDonald P. Gaver, Patricia A. Jacobs. aMonterey, Calif. :bNaval Postgraduate School ;aSpringfield, Va. :bAvailable from National Technical Information Service,c[1991] ai, 44 p. :bill. ;c28 cm. aTitle from cover. a"NPS-OR-91-030." a"September 1991." aAD A242 960. aIncludes bibliographical references (p. 36-37) aA hierarchical model for a Poisson time series is introduced. The model allows the mean or rate of the Poisson variables to vary slowly in time; it is modeled as the exponential of an AR/1 process. In addition the rate is influenced by a covariate. The Laplace method is used to recursively update some model parameter estimates. Frankly heuristic methods are explored to estimate other of the underlying parameters. The methodology is checked against simulated data with encouraging results. 4aKalman filtering. 4aTime series analysis. 4aMathematical prediction. 4aApproximation(Mathematics)1 aJacobs, Patricia A.2 aNaval Postgraduate School (U.S.).bDept. of Operations Research.0 aNPS-OR-91-030. aaq/ /aq cc:9116 12/08/97 aNPS-LIBbFEDDOCScD 208.14/2:NPS-OR-91-030dBOOKf1 aNPS-LIBbFEDDOCScD 208.14/2:NPS-OR-91-030dBOOKf2