Intensity estimation from shot-noise data

The estimation of the intensity function of a Poisson-driven shot-noise process is addressed using a regularization technique, where the data is modeled as a signal term plus a signal-dependent noise term. A new data-based method for selecting a pair of regularization parameters is presented and compared with the minimum unbiased risk method. The detail in the intensity function can be recovered by both methods, but the new method does a better job at suppressing spurious oscillations.<
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