Hypo-exponential distributions and compound Poisson processes with alternating parameters

Nikita Ratanov

Research output: Contribution to journalArticlepeer-review

3 Scopus citations

Abstract

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=1nX(m) and ∑m=1n(-1)mX(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.

Original languageEnglish (US)
Pages (from-to)71-78
Number of pages8
JournalStatistics and Probability Letters
Volume107
DOIs
StatePublished - Dec 1 2015

All Science Journal Classification (ASJC) codes

  • Statistics and Probability
  • Statistics, Probability and Uncertainty

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