Intersection densities of nonstationary Poisson processes of hypersurfaces
نویسندگان
چکیده
منابع مشابه
Title: Simulation of Nonstationary Poisson Processes
Example: The stationary Poisson process has a constant rate λ > 0 of customer arrivals. This means the interarrival time A between two consecutive customers is an exponential random variable with the cumulative distribution function A(t) = 1 − e. In order to generate the times of arrivals t1, t2, . . . of customer 1, 2, . . . starting from time t0, we use the inverse transform A−1 recursively.
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∗Preliminary Comments are welcome. Paper written for the Handbook of Financial Econometrics edited by Yacine Aı̈t-Sahalia and Lars Peter Hansen. We thank Darrell Duffie, Benoit Perron and Mark Watson for discussions and Seoyeon Lee for research assistance. Bandi acknowledges financial support from the IBM Corporation Faculty Research Fund at the University of Chicago. Phillips thanks fhe NSF for...
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ژورنال
عنوان ژورنال: Advances in Applied Probability
سال: 2007
ISSN: 0001-8678,1475-6064
DOI: 10.1017/s0001867800001762