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...

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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
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spelling 3203526002020-05-26T00:01:12Z2020-05-26T00:01:12Z2015Point 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.application/pdfhttps://doi.org/10.1016/j.spl.2015.08.0061677152https://repository.urosario.edu.co/handle/10336/23331engElsevier7871Statistics and Probability LettersVol. 107Statistics and Probability Letters, ISSN:1677152, Vol.107,(2015); pp. 71-78https://www.scopus.com/inward/record.uri?eid=2-s2.0-84940029131&doi=10.1016%2fj.spl.2015.08.006&partnerID=40&md5=c410e96ef551ce3f0d9e4c0f52691c18Abierto (Texto Completo)http://purl.org/coar/access_right/c_abf2instname:Universidad del Rosarioreponame:Repositorio Institucional EdocURErlang distributionHyper-exponential distributionHypo-exponential distributionMarkov-modulated Poisson processPoisson processHypo-exponential distributions and compound Poisson processes with alternating parametersarticleArtículohttp://purl.org/coar/version/c_970fb48d4fbd8a85http://purl.org/coar/resource_type/c_6501Ratanov, NikitaORIGINAL1-s2-0-S0167715215002850-main.pdfapplication/pdf393832https://repository.urosario.edu.co/bitstreams/d3b0c340-8346-4f9b-9e67-e8cc768de3df/download818127222486e67fe451df148f424a08MD51TEXT1-s2-0-S0167715215002850-main.pdf.txt1-s2-0-S0167715215002850-main.pdf.txtExtracted texttext/plain25832https://repository.urosario.edu.co/bitstreams/69f251a7-61d2-4631-bb1c-987193d44d67/downloadfcaaa3e9e3cb2355d16e8a1192cad77cMD52THUMBNAIL1-s2-0-S0167715215002850-main.pdf.jpg1-s2-0-S0167715215002850-main.pdf.jpgGenerated Thumbnailimage/jpeg4161https://repository.urosario.edu.co/bitstreams/7d3f7f6d-44b8-428e-921e-26c48425b176/download9bbd26d35246f2534632dcd124db0550MD5310336/23331oai:repository.urosario.edu.co:10336/233312021-06-10 23:01:46.863https://repository.urosario.edu.coRepositorio institucional EdocURedocur@urosario.edu.co
dc.title.spa.fl_str_mv Hypo-exponential distributions and compound Poisson processes with alternating parameters
title Hypo-exponential distributions and compound Poisson processes with alternating parameters
spellingShingle Hypo-exponential distributions and compound Poisson processes with alternating parameters
Erlang distribution
Hyper-exponential distribution
Hypo-exponential distribution
Markov-modulated Poisson process
Poisson process
title_short Hypo-exponential distributions and compound Poisson processes with alternating parameters
title_full Hypo-exponential distributions and compound Poisson processes with alternating parameters
title_fullStr Hypo-exponential distributions and compound Poisson processes with alternating parameters
title_full_unstemmed Hypo-exponential distributions and compound Poisson processes with alternating parameters
title_sort Hypo-exponential distributions and compound Poisson processes with alternating parameters
dc.subject.keyword.spa.fl_str_mv Erlang distribution
Hyper-exponential distribution
Hypo-exponential distribution
Markov-modulated Poisson process
Poisson process
topic Erlang distribution
Hyper-exponential distribution
Hypo-exponential distribution
Markov-modulated Poisson process
Poisson process
description 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.
publishDate 2015
dc.date.created.spa.fl_str_mv 2015
dc.date.accessioned.none.fl_str_mv 2020-05-26T00:01:12Z
dc.date.available.none.fl_str_mv 2020-05-26T00:01:12Z
dc.type.eng.fl_str_mv article
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dc.type.spa.spa.fl_str_mv Artículo
dc.identifier.doi.none.fl_str_mv https://doi.org/10.1016/j.spl.2015.08.006
dc.identifier.issn.none.fl_str_mv 1677152
dc.identifier.uri.none.fl_str_mv https://repository.urosario.edu.co/handle/10336/23331
url https://doi.org/10.1016/j.spl.2015.08.006
https://repository.urosario.edu.co/handle/10336/23331
identifier_str_mv 1677152
dc.language.iso.spa.fl_str_mv eng
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dc.relation.citationEndPage.none.fl_str_mv 78
dc.relation.citationStartPage.none.fl_str_mv 71
dc.relation.citationTitle.none.fl_str_mv Statistics and Probability Letters
dc.relation.citationVolume.none.fl_str_mv Vol. 107
dc.relation.ispartof.spa.fl_str_mv Statistics and Probability Letters, ISSN:1677152, Vol.107,(2015); pp. 71-78
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dc.publisher.spa.fl_str_mv Elsevier
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