Semi-Markov modulated Poisson process: probabilistic and statistical analysis

S. Özekici () and R. Soyer ()

Mathematical Methods of Operations Research, 2006, vol. 64, issue 1, 125-144

Abstract: We consider a Poisson process that is modulated in such a way that the arrival rate at any time depends on the state of a semi-Markov process. This presents an interesting generalization of Poisson processes with important implications in real life applications. Our analysis concentrates on the transient as well as the long term behaviour of the arrival count and the arrival time processes. We discuss probabilistic as well as statistical issues related to various quantities of interest. Copyright Springer-Verlag 2006

Keywords: Poisson process; Semi-Markov modulation; Probabilistic analysis; Bayesian analysis (search for similar items in EconPapers)
Date: 2006
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Citations: View citations in EconPapers (4)

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DOI: 10.1007/s00186-006-0067-3

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