Hypo-exponential distributions and compound Poisson processes with alternating parameters

Nikita Ratanov ()

Statistics & Probability Letters, 2015, vol. 107, issue C, 71-78

Abstract: 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.

Keywords: Poisson process; Markov-modulated Poisson process; Erlang distribution; Hypo-exponential distribution; Hyper-exponential distribution (search for similar items in EconPapers)
Date: 2015
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DOI: 10.1016/j.spl.2015.08.006

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