SHOT-NOISE PROCESSES AND
random variables
DISTRIBUTIONS
Many statistical distributions appear as
marginal distributions for shot-noise pro-
cesses. Here such distributions are called
shot-noise distributions. For instance, very
simple shot-noise processes produce stable,
gamma, and negative binomial distributions.
SHOT-NOISE PROCESSES
Assume that an electron that arrives at the
anode in a vacuum tube at time u generates
a current of magnitude h(t − u) at time t in
the circuit. The response function h vanishes
here for physical reasons on (−∞, 0). Under
additivity, the total current is given by

lar when Z(t, u) = h(t − u, V(u)), where {V(u),
X(t) = h(t − Tk ),
where {Tk }∞ −∞ denote the successive arrival
times of the electrons. These times are ran-
dom and are most often assumed to stem from
a Poisson (point) process∗ of constant inten-
sity λ on (−∞, ∞). This realistic assump-
tion makes the analysis of the stochastic
process∗ X(t), t ∈ R, simple. The process X(t)
is the classical shot-noise process that has a
very rich literature; cf., e.g., ref. 17, p. 423,
and ref. 18, p. 150. Early works are those by
Campbell [5] and Schottky [21]. A thorough
mathematical study was made by Rice [20].
The process is strictly stationary  with
(Campbell’s theorem) E[X(t)] = λ h(u)du
and
 storm at Tk , (2) has been used as an approx-
cov[X(t), X(t − τ )] = λ h(u)h(u − τ ) du.
For λ large, (X(t1 ), . . . , X(tm )) has approxi-
mately a multivariate normal distribution.
There are many stochastic processes
appearing in different applied fields (astron-
omy, biology, hydrology∗ , insurance mathe-
matics, queuing theory∗ , etc.) that can be
considered as shot-noise processes or simple
generalizations thereof. The response is often
random, in which case

of Yarn. Calls to a telephone exchange with
X(t) = h(t − Tk )Vk ,
Encyclopedia of Statistical Sciences, Copyright © 2006 John Wiley & Sons, Inc.
where the Vk ’s are i.i.d.
independent of the Poisson process. More
generally, one may have


X(t) = Z(t, Tk ), (3)
where {Z(·, u), u ∈ R} is a family of indepen-
dent stochastic processes. The interpreta-
tion is that Z(t, u) represents the random
effect (noise, response) a possible event (shot,
impulse) at u will have a t. Here t and u
may also be points in, e.g., Rn (or Rm and
Rn , respectively) and the {Tk } may denote
points in a spatial Poisson process of con-
stant intensity. Of course, Z(t, u) may van-
ish for t and u outside certain regions. The
process X(t) is stationary if the distribu-
tion of (Z(t1 , u), . . . , Z(tm , u)) depends only on
(t1 − u, . . . , tm − u). This happens in particu-
(1) u ∈ R} is a family of i.i.d. random variables
or vectors.
Some more or less well-known examples
are presented below; Example 3 may be new.
Example 1. Insurance Mathematics
and Waterflows. Let {Tk } be the (Poisson)
claim epochs and {Vk } the corresponding
i.i.d. claim sizes on an insurance company.
The discounted value at time t, X(t), of all
claims after t may then be represented by
(2), where h(u) = eρu 1(−∞,0] (u). Here ρ > 0
and 1A (·) denotes the indicator function of a
set A. (The interest is assumed constant and
inflation neglected.)
With h(u) = Ce−ρu 1[0,∞) (u) (C is a positive
constant) and Vk the amount of rain in a rain-
imate model for a steamflow, X(t), at time t;
see ref. 25. In this case X(t), t ∈ R, is Marko-
vian and X(t), t ∈ Z, is an autoregressive∗
process of order 1. By formula (4) below for
the characteristic function∗ for X(t) it can
be shown that if the Vk ’s are exponentially
distributed, then X(t) is gamma∗ distributed
(and any value of the shape parameter is pos-
sible). This result was perhaps first noticed
by Bartlett [1].
Example 2. Busy Lines and Thickness
(2) infinitely many lines arrive according to a
1
2 SHOT-NOISE PROCESSES AND DISTRIBUTIONS
Poisson process with intensity λ. Let X(t) be
the number of busy lines at time t and let L(u)
stand for the stochastic length of a call arriv-
ing at u; the L(u)’s are assumed to be i.i.d.
random variables. Then X(t) is given by (3)
with Z(t, u) = 1 if L(u) > t − u, and Z(t, u) = 0
otherwise. By simple considerations or from
(4) below it follows that X(t) is Poisson dis-
tributed with mean λE[L(u)].
If, instead, L(u) denotes the length of a
fibre with left endpoint at  position u in a
thread of yarn, then X(t) = Z(t, Tk ) can be
interpreted as the number of fibres at position
t, i.e., the thickness of the thread at t; cf., e.g.,
ref. 8, pp. 366–368.
Example 3. Generalization of Example
2. Groups of people arrive at a service sta-
tion with infinitely many servers according
to a Poisson process. The number of per-
sons in a group arriving at u is a random
variable N(u) and their service times are
i.i.d. random variables Lj (u), j = 1, . . . , N(u).
The number of people  under service at t
is given by X(t) = Z(t, Tk ), where Z(t, u) =
N(u)
j=1 1{Lj (u)>t−u} . Example 2 covers this case
if the arrival process is compound Poisson.
The process X(t), t ∈ R, is Markovian if the
Lj (u)’s are exponentially distributed. If, more-
over, N(u) is geometrically distributed, then
X(t) has a negative binomial distribution∗
(and any value of the shape parameter is pos-
sible). This result seems to be little known;
cf. ref. 4.
Example 4. Gravitation Force and Traf-
fic Noise. Point masses (stars) are assumed
to be distributed in R3 according to a spa-
tial Poisson process of constant intensity. Let
V(u) denote the mass of a star at u; the V(u)’s
are assumedto be i.i.d. random variables.
Then X(t) = Z(t, Tk ), where
Z(t, u) = C(u1 − t1 )u − t−3 V(u)
is the total gravitation force in the t1 direction
on a unit mass at t. (The sum is not abso-
lutely convergent and must be interpreted
suitably.) It was shown by the astronomer
Holtsmark [14] that X(t) has a symmetric
stable distribution∗ of index 32 . A simple
derivation is given in ref. 9, pp. 173–174. See
also refs. 7 and 12. If the space is Rn and the
attractive force is proportional to u − t−β ,
β > n/2, the index will be n/β. Unsymmet-
ric stable distributions for X(t) appear if the
intensity of the Poisson process is permitted
to be direction dependent viewed from t (t
fixed).
The case n = 1, β = 2, leads to an applica-
tion to traffic noise. Consider a long straight
highway with cars with random velocities
and positions (at any moment) according to
a Poison point process. Then, under very
weak assumptions, the intensity (effect) of
the traffic noise at an arbitrary point at the
road will follow at any time a positive stable
distribution with index 12 . The case when the
noise is registered at a distance from the road
is treated in ref. 24. See also, e.g., ref. 16.
For an application of shot-noise processes
in photographic science, see ref. 13. The
papers of refs. 6, 11, 15, and 19 contain fur-
ther applications or serve as guides to the
more recent literature.
SHOT-NOISE DISTRIBUTIONS
Let X(t) be given by (3). Then
ϕX(t) (s) = E[exp{isX(t)}]
  
= exp λ (E[exp{isZ(t, u)}] − 1)du
(4)
and the multivariate characteristic func-
tion of (X(t1 ), . . . , X(tm )) admits an analogous
expression from which Campbell’s theorem
can be derived; cf. ref. 18, pp. 152–155. For-
mula (4) is a consequence of the fact that
the distribution
 of X(t) equals the limit dis-
tribution of j Z(t, j/n)δjn as n → ∞, where
δjn = 1 if there is an event in ((j − 1)/n, j/n]
and 0 otherwise; the terms of the sum are
independent. It is easy to generalize (4) to
be valid also when the points {Tk } stem from
a nonstationary compound spatial Poisson
process.
Formula (4) shows that a shot-noise dis-
tribution, i.e., the marginal distribution of a
shot-noise process X(t), is infinitely divisible∗ .
This result follows immediately also from the
fact that, for any n, a Poisson (point) pro-
cess of intensity λ can be considered to be
 SHOT-NOISE PROCESSES AND DISTRIBUTIONS 3

the superposition of n independent Poisson description of the self-decomposable distribu-

(point) processes of intensity λ/n.
A converse result is that any infinitely
divisible distribution without a normal com-
ponent appears as the marginal distribu-
tion of
⎡ ⎤

of the Vk ’s is a mixture of exponential
lim ⎣ h(t − Tk ) − b(T)⎦
T→∞
|Tk −t|<T
for appropriate functions h and b. Stable
tions as limit distributions for normed sums
of independent random variables. Any self-
decomposable distribution with limy↓0 yn(y) <
∞ is a shot-noise distribution for an appro-
priate distribution of the Vk ’s.
(b) If h(u) = ce−ρu and the distribution
distributions∗ , then the shot-noise distribu-
tion is a generalized gamma convolution, i.e.,
a distribution with characteristic function of
the form
distributions with index α, 0 < α < 2, are
obtained by choosing h(u) = C sgn(u)|u|−1/α ,
where the constant C may have different val-
ues for u > 0 and u < 0. An infinitely divisible
distribution on [0, ∞), with left extremity 0
and with characteristic function
  ∞ is possible as a shot-noise distribution.
ϕ(s) = exp (eisy − 1)N(dy) ,
(0,∞)
 as the class of limits of finite convolutions of
is the distribution of X(t) = h(t − Tk ) if
h is nonnegative with h(u) = 0 for u < 0
and related to the Lévy measure N(dy) on
(0, ∞) by

N(dy) = λµ{u; h(u) > x},
(x,∞)
x > 0,
where µ is Lebesgue measure; see, e.g., ref.
3. The sum giving X(t) will converge almost
surely. To obtain the gamma distribution,
one may choose h to be proportional to the
inverse of the function (x,∞) y−1 e−y dy and a
suitable λ. However there is a more explicit
representation of the gamma distribution as
shot-noise distribution;cf. Example 1.
For the case X(t) = h(t − Tk )Vk , with h
nonnegative and 0 on (−∞, 0), some inter-
esting subclasses of the infinitely divisible
distributions on [0, ∞) are obtained as classes
of shot-noise distributions by restricting the
form of h and/or the possible distributions of
the nonnegative i.i.d. random variables Vk as
noticed in ref. 3.
(a) If h(u) = Ce−ρu , then X(t) has a self-
decomposable distribution∗ (class L distribu-
tion), which means that the Lévy measure
has a density n(y) such that yn(y) is nonin-
creasing. See, e.g., ref. 9, pp. 588–590, for a
    
1
ϕ(s) = exp ias + log U(dy) ,
1 − is/y
where a
0 and U(dy) is a nonnegative mea-
sure on (0, ∞). Moreover, any generalized

gamma convolution with a = 0 and U(dy) <
The class of generalized gamma convolutions,
introduced by Thorin [23], can be described
gamma distributions. It contains several of
the continuous standard distributions on (0,
∞), in particular positive stable distributions
and distributions with densities of the form
N
f (x) = Cxβ−1 (1 + cj x)−γj ,
j=1
where the parameters are nonnegative and
limits of such distributions; see ref. 2.
(c) When there is no restriction on h but
the Vk ’s are exponentially distributed, the
possible shot-noise distributions are precisely
the T2 distributions∗ with left extremity 0.
The T2 distributions are defined as the limits
of finite convolutions of mixtures of exponen-
tial distributions. Every generalized gamma
convolution is in the T2 class.
The distributions encountered in (a)–(c)
above have discrete analogs on Z+ that are
marginal distributions for shot-noise pro-
cesses of the kind considered in Example 3
with suitable restrictions; e.g., if the Lj (u)’s
are exponentially distributed, then X(t)
has a discrete self-decomposable distribu-
tion. These distributions were introduced in
ref. 22.
Finally, an interesting shot-noise repre-
sentation of Ferguson’s [10] Dirichlet process
is worth mentioning. A Dirichlet process∗
with parameter space , equipped with a σ
4 SHOT-NOISE PROCESSES AND DISTRIBUTIONS
field A, is a stochastic process X(A), A ∈ A,
such that, for every partition A1 , . . . , Am
of , (X(A1 ), . . . , X(Am )) has a Dirichlet
distribution∗ D(α(A1 ), . . ., α(Am )), where α
is a finite positive measure on A. Then, as
shown in ref. 10, X(A) may be represented as
Y(A)/Y( ), with
∞

818–867.
Y(A) = h(Tk )1A (Wk ),
k=1
where −1h −yis the inverse of the function
(x,∞) y e dy and the Wk ’s are i.i.d. random
variables with values in and probability
distribution α(dω)/α( ). The intensity λ
of the Poisson process on (0, ∞) should
equal α( ). For disjoint A1 , . . . , Am , the
variables Y(A1 ), . . . , Y(Am ) are independent
and gamma distributed. A somewhat more
explicit representation is obtained by chang-
ing Y(A) to
∞

the most general versions; recommended read-
Y(A) = exp{−Tk }Vk 1A (Wk ),
k=1
where the Vk ’s are independent and exponen-
tially distributed with mean 1; cf. Example 1.
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Patil, ed. Pennsylvania State University
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ory of Stochastic Processes. Methuen, London,
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bka, E. A. (1972). Stochastic Point Processes:
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P. A. W. Lewis, ed. Wiley, New York, pp.
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(Emphasizes the connection between shot-
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processes, called filtered Poisson processes in
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101–108.
See also INFINITE DIVISIBILITY; POINT PROCESS, STATIONARY;
POISSON PROCESSES; STABLE DISTRIBUTIONS; and STOCHASTIC
PROCESSES, POINT.
L. BONDESSON