Simulation of Nonhomogeneous Poisson Processes with Log Linear Rate Function
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Authors
Lewis, P.A.W.
Shelder, G.S.
Subjects
Gap statistics
Log linear rate function
Nonhomogeneous Poisson process
Simulation
Log linear rate function
Nonhomogeneous Poisson process
Simulation
Advisors
Date of Issue
1976
Date
Publisher
Biometrika
Language
Abstract
An efficient method for simulating a nonhomogeneous Poisson process with rate function λ(t) = exp(α0+α1t) is given. The method ia based on an identity relating the nonhomogeneous Poisson process to the gap statistics from a random number of exponential random variables with suitably chosen parameters; it avoids costly ordering and taking of logarithms required by direct simulation methods and is more efficient than time scale transformations of a homogeneous Poisson process.
Type
Article
Description
Series/Report No
Department
Organization
Naval Postgraduate School (U.S.)
Identifiers
NPS Report Number
Sponsors
Office of Naval Research
National Science Foundation
National Science Foundation
Funder
Format
5 p.
Citation
Lewis, P. A. W., and G. S. Shedler. "Simulation of nonhomogeneous Poisson processes with log linear rate function." Biometrika 63.3 (1976): 501-505.
Distribution Statement
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.