Hypo-exponential distributions and compound Poisson processes with alternating parameters
| Autor: | Nikita Ratanov |
|---|---|
| Jazyk: | angličtina |
| Rok vydání: | 2015 |
| Předmět: |
Statistics and Probability
Markov-modulated Poisson process Exponential distribution Mathematical analysis Erlang distribution Poisson process Poisson distribution Point process Combinatorics symbols.namesake Compound Poisson distribution Hypo-exponential distribution Compound Poisson process Gamma distribution symbols Phase-type distribution Statistics Probability and Uncertainty Mathematics Hyper-exponential distribution |
| Zdroj: | Repositorio EdocUR-U. Rosario Universidad del Rosario instacron:Universidad del Rosario |
| Popis: | Point processes with alternating arrival rates arise in various applications, including financial modelling. We obtain explicit expressions for the distributions of these processes, i.e. for the sums ∑ m = 1 n X ( m ) and ∑ m = 1 n ( − 1 ) m X ( m ) , where X ( m ) are independent exponentially distributed random variables with alternating parameters. The distribution of the compound Poisson process with Markov modulation and with exponentially distributed jumps is also studied. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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