Semi-Markov modulated Poisson process: probabilistic and statistical analysis (Q857820)

The authors consider a Poisson process with the arrival rate function represented by a stationary stochastic process \(Z\). The process \(Z\) is supposed to be modulated by a stochastic process \(Y\) with a discrete state space \(E\) such that \(Z_{t}=\lambda(Y_{t})\) for all \(t\geq 0\) where \(\lambda(i)\) is the rate of arrivals when the state of \(Y\) is \(i\). The process \(Y\) is called the environmental process that affects and modulate the arrival rate of the Poisson process. A Markov modulated Poisson process and its Bayesian analysis is also considered. For related papers see: \textit{E. Çinlar} and \textit{S. Özekici} [Probab. Eng. Inf. Sci. 1, 97--115 (1987; Zbl 1133.90321)]; \textit{S. Özekici} and \textit{R. Soyer} [Math. Methods Oper. Res. 57, No. 1, 125--140 (2003; Zbl 1013.62024)].