Friday, February 15
Fri, Feb 15, 9:15 AM - 10:45 AM
Magazine
Magazine
Extending Existing Tools with Applications and Languages
Estimation and Simulation for a Nonhomogeneous Poisson Process (303766)
*Lawrence Mark Leemis, The College of William & Mary
Keywords: Intensity function estimation, process generation, stochastic processes.
We consider the problems of (1) estimating the intensity function of a nonhomogeneous Poisson process from event data and (2) simulating the event times in a nonhomogeous Poisson process with a given intensity function. The cases of raw data and count data are treated separately. In addition, the cases of a finite horizon (for example, arrivals to a bank during working hours) and infinite horizon (for example, arrivals to an emergency room) are treated separately. Inversion and thinning are presented as algorithms for generating events from a nonhomogeous Poisson process.