Nonparametric Estimation of the Cumulative Intensity Function for a Nonhomogeneous Poisson Process

A nonparametric technique for estimating the cumulative intensity function of a nonhomogeneous Poisson process from one or more realizations is developed. This technique does not require any arbitrary parameters from the modeler, and the estimated cumulative intensity function can be used to generate a point process for Monte Carlo simulation by inversion. Three examples are given.

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Year of publication:	1991
Authors:	Leemis, Lawrence M.
Published in:	Management Science. - Institute for Operations Research and the Management Sciences - INFORMS, ISSN 0025-1909. - Vol. 37.1991, 7, p. 886-900
Publisher:	Institute for Operations Research and the Management Sciences - INFORMS
Subject:	nonstationary Poisson process \| repairable systems \| time-dependent arrivals \| simulation \| variate generation

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Extent:	application/pdf
Type of publication:	Article
Other identifiers:	10.1287/mnsc.37.7.886 [DOI]
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009191538