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Information-based thinning of point processes and its application to shock models

Title
Information-based thinning of point processes and its application to shock models
Authors
Cha J.H.Finkelstein M.
Ewha Authors
차지환
SCOPUS Author ID
차지환scopus
Issue Date
2012
Journal Title
Journal of Statistical Planning and Inference
ISSN
0378-3758JCR Link
Citation
vol. 142, no. 8, pp. 2345 - 2350
Indexed
SCIE; SCOPUS WOS scopus
Abstract
Thinning of point processes is a useful operation that is implemented in various stochastic models. When the initial point process is the nonhomogeneous Poisson process (NHPP), the thinned processes are also nonhomogeneous Poisson processes independent of each other. The crucial assumption in deriving this result is that the corresponding classification of events is independent of all other events, including the history of the process. However, in practice, this classification is often dependent on the history. In our paper, we define and describe the thinned processes for the history-dependent case using different levels of available information. We also discuss the applications of the obtained general results to the corresponding shocks models. © 2012 Elsevier B.V..
DOI
10.1016/j.jspi.2012.02.049
Appears in Collections:
자연과학대학 > 통계학전공 > Journal papers
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