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

Universidad del Rosario

Producción científica: Contribución a revista › Artículo de Investigación › revisión exhaustiva

7 Citas (Scopus)

Resumen

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.

Idioma original	Inglés estadounidense
Páginas (desde-hasta)	71-78
Número de páginas	8
Publicación	Statistics and Probability Letters
Volumen	107
DOI	https://doi.org/10.1016/j.spl.2015.08.006
Estado	Publicada - dic 1 2015

Áreas temáticas de ASJC Scopus

Estadística y probabilidad
Estadística, probabilidad e incerteza

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10.1016/j.spl.2015.08.006

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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.",

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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.

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UR - https://www.scopus.com/pages/publications/84940029131#tab=citedBy

U2 - 10.1016/j.spl.2015.08.006

DO - 10.1016/j.spl.2015.08.006

M3 - Research Article

AN - SCOPUS:84940029131

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JO - Statistics and Probability Letters

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Hypo-exponential distributions and compound Poisson processes with alternating parameters

Resumen

Áreas temáticas de ASJC Scopus

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