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

DOI10.1017/S0269964810000069zbMATH Open1197.60044arXiv1007.0283MaRDI QIDQ3585152FDOQ3585152

Authors: Shai Covo 

Publication date: 19 August 2010

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

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.

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

Recommendations

• Generalized moments of the distance between Poisson process events
• On the moment distance of Poisson processes
• A note on the prohorov distance between a counting process and a poisson process
• scientific article
• Distance estimates for Poisson process approximations of dependent thinnings
• On minimumL^p-distance estimation for inhomogeneous Poisson processes
• scientific article
• On the event distance of Poisson processes with applications to sensors

Mathematics Subject Classification ID

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

Cites Work

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

This page was built for publication: ON PROBABILITIES ASSOCIATED WITH THE MINIMUM DISTANCE BETWEEN EVENTS OF A POISSON PROCESS IN A FINITE INTERVAL

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3585152)