ON PROBABILITIES ASSOCIATED WITH THE MINIMUM DISTANCE BETWEEN EVENTS OF A POISSON PROCESS IN A FINITE INTERVAL

DOI10.1017/S0269964810000069MaRDI QIDQ3585152zbMATH OpenFDO

Authors Shai Covo

Publication date 19 August 2010

Published in Probability in the Engineering and Informational Sciences (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1007.0283

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Abstract: Original paper: We revisit the probability that any two consecutive events in a Poisson process N on [0,t] are separated by a time interval which is greater than s(<t) (a particular scan statistic probability), and the closely related probability (recently introduced by Todinov [8], who denotes it as p_MFFOP) that before any event of N in [0,t] there exists an event-free interval greater than s. Both probabilities admit simple explicit expressions, which, however, become intractable for very large values of t/s. Our main objective is to demonstrate that these probabilities can be approximated extremely well for large values of t/s by some very tractable and attractive expressions (actually, already for t larger than a few multiples of s). Erratum/Addendum: In this addendum, we further discuss numerical issues concerning the computation of the probability denoted phi(s,t;lambda) in the original paper. In particular, and most importantly, we correct the naive claim made in the abstract of the original paper that the explicit expression of phi(s,t;lambda) becomes intractable for very large values of t/s; rather, we show that it may not be applicable for large values of lambda*t.

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Cites work

• A century of complex Tauberian theory
• Accurate and asymptotic results for distributions of scan statistics
• Approximations for Distributions of Scan Statistics
• Reliability and Risk Models

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