Nonparametric Estimation of the Cumulative Intensity Function for a Nonhomogeneous Poisson Process

Abstract

A nonparametric technique for estimating the cumulative intensity function of a nonhomogeneous Poisson process from one or more realizations is developed. This technique does not require any arbitrary parameters from the modeler, and the estimated cumulative intensity function can be used to generate a point process for Monte Carlo simulation by inversion. Three examples are given.