We formulate and evaluate weighted and ordinary least squares procedures for estimating the parametric rate function of a nonhomogeneous Poisson process. Special emphasis is given to processes having an exponential rate function, where the exponent may include a polynomial component or some trigonometric components or both. Theoretical and experimental evidence is provided to explain some surprising problems with the weighted least squares procedure. The ordinary least squares procedure is based on a square root transformation of the “detrended” event times; and the results of an extensive Monte Carlo study are summarized to show the advantages and disadvantages of this procedure.
Date of creation, presentation, or exhibit
Department, Program, or Center
Industrial and Systems Engineering (KGCOE)
Kuhl, Michael; Damerdji, Halim; and Wilson, James, "Least squares estimation of nonhomogeneous Poisson processes" (1998). Accessed from
RIT – Main Campus