Hypo-exponential distributions and compound Poisson processes with alternating parameters
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...
- Autores:
- Tipo de recurso:
- Fecha de publicación:
- 2015
- Institución:
- Universidad del Rosario
- Repositorio:
- Repositorio EdocUR - U. Rosario
- Idioma:
- eng
- OAI Identifier:
- oai:repository.urosario.edu.co:10336/23331
- Acceso en línea:
- https://doi.org/10.1016/j.spl.2015.08.006
https://repository.urosario.edu.co/handle/10336/23331
- Palabra clave:
- Erlang distribution
Hyper-exponential distribution
Hypo-exponential distribution
Markov-modulated Poisson process
Poisson process
- Rights
- License
- Abierto (Texto Completo)
| Summary: | 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. © 2015 Elsevier B.V. |
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