Poisson approximations for time-changed point processes

DOI10.1016/0304-4149(88)90040-3MaRDI QIDQ1106547zbMATH OpenOpenAlexFDO

Authors Timothy C. Brown, M. Gopalan Nair

Publication date 1988

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0304-4149(88)90040-3

zbMATH Keywords

local martingalepoint processstopping timessurvival models.time transformed point processesvariation distance

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Review text

Let N be the point process belonging to a strictly increasing unbounded sequence of finite stopping times \(0<T_ 1<T_ 2<..\). of a filtration \({\mathcal F}=({\mathcal F}(t))_{t\geq 0}\) and denote A its ``compensator, that is the unique \({\mathcal F}\)-predictable stochastic process with increasing paths such that \(A(0)=0\) and N-A is a local martingale, and \(\hat N\) its ``time transformed point process, that is the point process belonging to the sequence \(0<A(T_ 1)<A(T_ 2)<\dots\) One important result on time transformed point processes states (Meyer 1971): Let \(N = (N_1, N_2, \dots, N_ k)\) be a vector of point processes. Suppose that A1) for any \(i \neq j\) the probability that \(N_ i\) and \(N_ j\) have common jumps is 0, and A2) the compensators \(A_ i\) of \(N_ i\) are continuous, then the vector \(\hat N = (\hat N_1, \hat N_2, \dots, \hat N_ k)\) of the time transformed point processes is a vector \(\Pi = (\Pi_1, \Pi_2, \dots, \Pi_ k)\) of independent unit rate Poisson processes. This statement is not true, if the two assumptions A1) and A2) do not hold. In that case, this paper provides an explicit bound for the total variation distance \(d(\hat N(t), \Pi (t))\).

Recommendations

• A new approach to Poisson approximation of simple point processes using compensators
• A simple proof of the multivariate random time change theorem for point processes
• Some Poisson approximations using compensators
• Compensator approximations for point processes on the plane
• The Stein-Chen method, point processes and compensators

Cites work

• scientific article; zbMATH DE number 4157632 (Why is no real title available?)
• scientific article; zbMATH DE number 3778410 (Why is no real title available?)
• scientific article; zbMATH DE number 3274494 (Why is no real title available?)
• Some Poisson approximations using compensators
• Séminaire de probabilités. V. Université de Strasbourg

Cited in

(15)

• A note on the exponentiality of total hazards before failure
• Random time change and an integral representation for marked stopping times
• On the optimality of multivariate Poisson approximation
• Time series with Poisson point process.
• Transforming spatial point processes into Poisson processes
• A characterization of the spatial Poisson process and changing time
• On non-simple marked point processes
• On convergence in variation of the distributions of multivariate point processes
• scientific article; zbMATH DE number 4157632 (Why is no real title available?)
• scientific article; zbMATH DE number 4032726 (Why is no real title available?)
• A simple proof of the multivariate random time change theorem for point processes
• Rescaling Marked Point Processes
• Time-changed Poisson processes
• Random space change for multiparameter point processes
• A new approach to Poisson approximation of simple point processes using compensators

This page was built for publication: Poisson approximations for time-changed point processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1106547)