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For questions about the theory or applications of the Poisson process, one of the most widely applied point processes in statistics and elsewhere.

3 votes
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Confusion about Poisson rectangular pulse model

The integral expression for $Y(t)$ refers to some stochastic calculus involving the Poisson process. However it can be understood as a sum of random infinitesimal contributions and handled as such on …
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1 vote
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Is it valid to simulate a shot noise Poisson process with discretization (R)

Let us derive the simulation. It will be enough to consider one of the two process $x^{+}_t$ and $x^{-}_t$, that we can denote by $x(t)$. It has the representation $$ x(t) = \sum_{\{k: \, T_k \leq t\} …
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1 vote

Derivation of probability under assumption of Poisson process

An interesting feature of the Poisson Process is that the Poisson distribution can be derived from properties of the Point Process such as orderliness and complete independence. See e.g. section 1.2 …
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7 votes
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Poisson Process in R from exponential distribution

Basically, you need to compute the successive arrivals $S_i$ for $i=1$, $2$, $\dots$ as cumulative sums of independent exponential interarrivals. So the two main ingredients here are rexp and cumsum. …
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