Hypo-exponential distributions and compound Poisson processes with alternating parameters

Nikita Ratanov

doi:10.1016/j.spl.2015.08.006

Hypo-exponential distributions and compound Poisson processes with alternating parameters

Nikita Ratanov

urosario

Research output: Contribution to journal › Research Article › peer-review

7 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 language	English (US)
Pages (from-to)	71-78
Number of pages	8
Journal	Statistics and Probability Letters
Volume	107
DOIs	https://doi.org/10.1016/j.spl.2015.08.006
State	Published - Dec 1 2015

All Science Journal Classification (ASJC) codes

Statistics and Probability
Statistics, Probability and Uncertainty

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10.1016/j.spl.2015.08.006

Cite this

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title = "Hypo-exponential distributions and compound Poisson processes with alternating parameters",

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.",

author = "Nikita Ratanov",

year = "2015",

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doi = "10.1016/j.spl.2015.08.006",

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T1 - Hypo-exponential distributions and compound Poisson processes with alternating parameters

AU - Ratanov, Nikita

PY - 2015/12/1

Y1 - 2015/12/1

N2 - 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.

AB - 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.

UR - https://www.scopus.com/pages/publications/84940029131

UR - https://www.scopus.com/inward/citedby.url?scp=84940029131&partnerID=8YFLogxK

U2 - 10.1016/j.spl.2015.08.006

DO - 10.1016/j.spl.2015.08.006

M3 - Research Article

AN - SCOPUS:84940029131

SN - 0167-7152

VL - 107

SP - 71

EP - 78

JO - Statistics and Probability Letters

JF - Statistics and Probability Letters

ER -

Hypo-exponential distributions and compound Poisson processes with alternating parameters

Abstract

All Science Journal Classification (ASJC) codes

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