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Stat 6402
Counting process
A stochastic process {N(t) : t 0} is a counting process if N(t) represents the total number of events that occur by time t.
eg, # of persons entering a store before time t, # of people who were born by time t, # of goals a soccer player scores by time t.
N(t)>0 N(t) is integer valued If s<t, then N(s)< N (t) For s<t, N(t)-N(s) equals the number of events that occur in (s, t]
http://www.ms.uky.edu/~mai/java/stat/countpro.html
A counting process is said to have independent increments if for any non-overlapping intervals of time, I1 and I2, N(I1) and N (I2) are independent.
A counting process is said to have stationary increments if for all t>0, s>0, N(t+s)- N(s) has a distribution that only depends on t, the length of the time interval. Here, P{N(t+s)- N(s)=n} = et(t)n/n!, n = 0, 1, E[N(t)] = t
Let o(t) denote any function of t that satisfies o(t)/t 0 as t 0. Examples include o(t) =tn, n>1 For a Poisson process,
P(N(t) = 1) = t + o(t) P(N(t) > 1) = o(t).
P{T1>t} = P{N(t)=0} = e-t P{T2>t | T1 = s} = P{0 events in (s, s+t] | T1 = s} = P{0 events in (s, s+t] } = e-t Tn are iid exponential with mean 1/
Sn is the arrival time of the nth event, also called the waiting time until the nth event.
Suppose each event is classified as a type I event with probability p or a type II event with probability 1-p. If N(t) Poiss() and if each object of X is, independently, type 1 or type 2 with probability p and q = 1 p, then in fact N1(t) Poiss(p), N2(t) Poiss(q) and they are independent. Suppose there are k possible types of events, represented by Ni(t), i=1, k, then they are independent Poisson random t variables having means
E[Ni(t)] =
Pi (s)ds
0
Theorem: Given that N(t)=n, the n arrival times S1, S2,Sn have the same distribution as the order statistics corresponding to n independent random variables uniformly distributed on the interval (0, t).
A stochastic process {X(t), t>0} is said to be a compound Poisson process if it can be represented as X(t) = N (t )Yi
i 1
Here {N(t), t>0} is a Poisson process, and {Yi, i>0} is a family of independent and identically distributed random variables that is also independent of N(t).
eg. Suppose customers leave a supermarket with a Poisson process. Yi represents the amount spent by the ith customer and they are iid. Then {X(t), t>0} is a compound Poisson, X(t) denotes the total amount of money spent by time t.