Simulation of nonhomogeneous Poisson processes with degree-two exponential polynomial rate function
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Authors
Lewis, P.A.W.
Shedler, G.S.
Subjects
Nonhomogeneous Poisson process
Poisson process
polynomial rate function
simulation
gap statistics
exponential random variables
degree-two exponential polynomial
acceptance-rejection technique
time scale transformation
Poisson process
polynomial rate function
simulation
gap statistics
exponential random variables
degree-two exponential polynomial
acceptance-rejection technique
time scale transformation
Advisors
Date of Issue
1977-03
Date
Publisher
Monterey, California: Naval Postgraduate School
Language
Abstract
A new method for generating a nonhomogeneous Poisson process with rate function λ(t) = exp{α0 + α 1t + α 2t2} is given. The method employs a rejection
technique, in conjunction with a method for simulating the nonhomogeneous
Poisson process with rate function exp{γ0 + γ1t}
by generation of gap statistics from a random number of exponential random variables with suitably chosen parameters. The proposed method for the degree-two exponential polynomial model is more efficient than time scale transformation of a homogeneous Poisson process, and should be applicable to other rate function models.
Type
Technical Report
Description
Series/Report No
Department
Operations Research (OR)
Organization
Naval Postgraduate School (U.S.)
Identifiers
NPS Report Number
NPS55-77-15
Sponsors
Funder
National Science Foundation AG476
Office of Naval Research NR-42-284
Office of Naval Research NR-42-284
Format
36 p.
Citation
Distribution Statement
Approved for public release; distribution is unlimited.
Rights
This publication is a work of the U.S. Government as defined in Title 17, United States Code, Section 101. Copyright protection is not available for this work in the United States.