Download or read book Simulation of nonhomogeneous Poisson processes by thinning written by Thomas J. Watson IBM Research Center and published by . This book was released on 1978 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Simulation of nonhomogeneous Poisson processes by thinning written by International Business Machines Corporation. Research Division and published by . This book was released on 1978 with total page 23 pages. Available in PDF, EPUB and Kindle. Book excerpt: A simple and relatively efficient method for simulating one- dimensional and two-dimensional nonhomogeneous Poisson processes is presented. The method is applicable for any rate function and is based on controlled deletion of points in a Poisson process whose rate function dominates the given rate function. In its simplest implementation, the method obviates the need for numerical integration of the rate function, for ordering of points, and for generation of Poisson variates.

Download or read book Simulation methods for Poisson processes in nonstationary systems written by Thomas J. Watson IBM Research Center and published by . This book was released on 1978 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The nonhomogeneous Poisson process is a widely used model for a series of events (stochastic point process) in which the rate or intensity of occurrence of points varies, usually with time. The process has the characteristic properties that the number of points in any finite set of nonoverlapping intervals are mutually independent random varialbes, and that the number of points in any of these intervals has a Poisson distribution. This paper first discusses several general methods for simulation of the one-dimensional nonhomogeneous Poisson process. Then a particular and very efficient method for simulation of nonhomogeneous Poisson processes is stated with log-linear rate function. The method is based on an identity relating the nonhomogeneous Poisson process to the gap statistics from a random number of exponential random variables with suitably chosen parameters. Finally, a simple and relatively efficient new method for simulation of one-dimensional and two-dimensional nonhomogeneous Poisson processes is described. The method is applicable for any given rate function and is based on controlled deletion of points in a Poisson process with a rate function that dominates the given rate function.

Download or read book Simulation of Non homogeneous Poisson Processes with Log linear Rate Function written by International Business Machines Corporation. Research Division and published by . This book was released on 1975 with total page 12 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Generation of Non Homogeneous Poisson Processes by Thinning Programming Considerations and Comparision with Competing Algorithms written by John Scott Redd and published by . This book was released on 1978 with total page 101 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this thesis we study several computer implementations of the thinning algorithm, a new method for generating non-homogeneous Poisson processes. The method is valid for Poisson processes with any given intensity function. The basic thinning algorithm is modified to exploit several refinements which reduce computer execution time by approximately one-third. The basic and modified thinning programs are compared with the Poisson decomposition and gap-statistics algorithm, which is easily implemented for Poisson processes with intensity functions of the form exp(a sub 0 + a sub 1t + a sub 2 t-squared. The thinning programs are competitive in both execution time and computer memory requirements. One program implementation generates the events in a Poisson process one at a time; another program implements the algorithmic refinements which improve efficiency.

Download or read book Simulation of Non homogeneous Poisson Processes with Degree two Exponential Polynomial Rate Function written by P. A. W. Lewis and published by . This book was released on 1977 with total page 20 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Estimation and Simulation of Nonhomogeneous Poisson Processes Having Multiple Periodicities written by Michael Edward Kuhl and published by . This book was released on 1994 with total page 330 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book A Comparison of Two Algorithms for the Simulation of Non Homogeneous Poisson Processes with Degree Two Exponential Polynomial Intensity Function written by Michael Lelon Patrow and published by . This book was released on 1977 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Two algorithms for generating a non-homogeneous Poisson process with log-quadratic intensity function are implemented into computer programs and compared for relative speed, core storage requirements and fidelity. By simulating several cases of non-homogeneous Poisson processes with log-quadratic intensity functions it is shown that the Poisson-decomposition and gap statistic algorithm substantially reduces computation time from that required by an algorithm that uses a time-scale transformation of a homogeneous Poisson process. The experience gained from implementing the algorithm has led to several possibilities which are suggested for improving the efficiency of the Poisson-decomposition and gap statistic algorithm.

Download or read book Modeling and Simulation of a Nonhomogeneous Poisson Process Having Cyclic Behavior written by Sanghoon Lee and published by . This book was released on 1990 with total page 43 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Estimating the Intensity Function of a Nonhomogeneous Poisson Process and a Simulation Study written by Iva Lattinger and published by . This book was released on 1999 with total page 84 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Generation of Non homogenous Poisson Processes by Thinning written by John Scott Redd and published by . This book was released on 1978 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Smooth Flexible Models of Nonhomogeneous Poisson Processes Fit to One Or More Process Realizations written by Shalaka C. Deo and published by . This book was released on 2009 with total page 256 pages. Available in PDF, EPUB and Kindle. Book excerpt: "Simulation is a technique of creating representations or models of real world systems or processes and conducting experiments to predict behavior of actual systems. Input modeling is a critical aspect of simulation modeling. Stochastic input models are used to model various aspects of the system under uncertainty including process times and interarrival times. This research focuses on input models for nonstationary arrival processes that can be represented as nonhomogeneous Poisson processes (NHPPs). In particular, a smooth flexible model for the mean-value function (or integrated rate function) of a general NHPP is estimated. To represent the mean-value function, the method utilizes a specially formulated polynomial that is constrained in least-squares estimation to be nondecreasing so the corresponding rate function is nonnegative and continuously differentiable. The degree of the polynomial is determined by applying a modified likelihood ratio test to a set of transformed arrival times resulting from a variance stabilizing transformation of the observed data. Given the degree of polynomial, final estimates of the polynomial coefficients are obtained from original arrival times using least-squares estimation. The method is extended to fit an NHPP model to multiple observed realizations of a process. In addition, the method is adapted to a multiresolution procedure that effectively models NHPPs with long term trend and cyclic behavior given multiple process realizations. An experimental performance evaluation is conducted to determine the capabilities and limitations of the NHPP fitting procedure for single and multiple realizations of test processes. The method is implemented in a Java-based programming environment along with a web interface that allows user to upload observed data, fit an NHPP, and generate realizations of the fitted NHPP for use in simulation experiments."--Abstract.

Download or read book Simulation written by Sheldon M. Ross and published by Elsevier. This book was released on 2006-08-01 with total page 313 pages. Available in PDF, EPUB and Kindle. Book excerpt: Ross's Simulation, Fourth Edition introduces aspiring and practicing actuaries, engineers, computer scientists and others to the practical aspects of constructing computerized simulation studies to analyze and interpret real phenomena. Readers learn to apply results of these analyses to problems in a wide variety of fields to obtain effective, accurate solutions and make predictions about future outcomes. This text explains how a computer can be used to generate random numbers, and how to use these random numbers to generate the behavior of a stochastic model over time. It presents the statistics needed to analyze simulated data as well as that needed for validating the simulation model. - More focus on variance reduction, including control variables and their use in estimating the expected return at blackjack and their relation to regression analysis - A chapter on Markov chain monte carlo methods with many examples - Unique material on the alias method for generating discrete random variables

Download or read book Modeling and Simulation of Nonstationary Non Poisson Processes written by Ran Liu and published by . This book was released on 2013 with total page 102 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Experimental Evaluation of a Procedure for Estimating Nonhomogeneous Poisson Processes Having Cyclic Behavior written by Mary A. Johnson and published by . This book was released on 1992 with total page 41 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Lectures on the Poisson Process written by Günter Last and published by Cambridge University Press. This book was released on 2017-10-26 with total page 315 pages. Available in PDF, EPUB and Kindle. Book excerpt: A modern introduction to the Poisson process, with general point processes and random measures, and applications to stochastic geometry.

Download or read book Simulation and Inference for Stochastic Processes with YUIMA written by Stefano M. Iacus and published by Springer. This book was released on 2018-06-01 with total page 277 pages. Available in PDF, EPUB and Kindle. Book excerpt: The YUIMA package is the first comprehensive R framework based on S4 classes and methods which allows for the simulation of stochastic differential equations driven by Wiener process, Lévy processes or fractional Brownian motion, as well as CARMA, COGARCH, and Point processes. The package performs various central statistical analyses such as quasi maximum likelihood estimation, adaptive Bayes estimation, structural change point analysis, hypotheses testing, asynchronous covariance estimation, lead-lag estimation, LASSO model selection, and so on. YUIMA also supports stochastic numerical analysis by fast computation of the expected value of functionals of stochastic processes through automatic asymptotic expansion by means of the Malliavin calculus. All models can be multidimensional, multiparametric or non parametric.The book explains briefly the underlying theory for simulation and inference of several classes of stochastic processes and then presents both simulation experiments and applications to real data. Although these processes have been originally proposed in physics and more recently in finance, they are becoming popular also in biology due to the fact the time course experimental data are now available. The YUIMA package, available on CRAN, can be freely downloaded and this companion book will make the user able to start his or her analysis from the first page.