Super-resolution Estimation of Cyclic Arrival Rates
Annals of Statistics 47:3:1754-1775 (2019)
32 Pages Posted: 28 Oct 2016 Last revised: 1 Mar 2019
Date Written: September 12, 2016
Exploiting the fact that most arrival processes exhibit cyclic behaviour, we propose a simple procedure for estimating the intensity of a non-homogeneous Poisson process. The estimator is the super-resolution analogue to Shao 2010 and Shao & Lii 2011, which is a sum of p sinusoids where p and the frequency, amplitude, and phase of each wave are not known and need to be estimated. This results in an interpretable yet flexible specification that is suitable for use in modelling as well as in high resolution simulations.
Our estimation procedure sits in between classic periodogram methods and atomic/total variation norm thresholding. Through a novel use of window functions in the point process domain, our approach attains super-resolution without semidefinite programming. Under suitable conditions, finite sample guarantees can be derived for our procedure. These resolve some open questions and expand existing results in spectral estimation literature.
Keywords: arrival rate estimation; spectral estimation; super-resolution frequency recovery; periodogram; window function; thresholding; nonhomogeneous Poisson process; queueing theory
JEL Classification: C15, C22, C32, C44, C53
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