Multivariate arrival rate estimation using semidefinite programming

An efficient method for the smooth estimation of the arrival rate of non-homogeneous, multi-dimensional Poisson processes from inexact arrivals is presented. The method provides a piecewise polynomial spline estimator. It is easily parallelized, and it exploits the sparsity of the neighborhood structure of the underlying spline space; as a result, it is very efficient and scalable. Numerical illustration is included.