Hypo-exponential distributions and compound Poisson processes with alternating parameters

Ratanov, Nikita

doi:https://doi.org/10.1016/j.spl.2015.08.006

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Hypo-exponential distributions and compound Poisson processes with alternating parameters

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dc.creator	Ratanov, Nikita
dc.date.accessioned	2020-05-26T00:01:12Z
dc.date.available	2020-05-26T00:01:12Z
dc.date.created	2015	spa
dc.description.abstract	Point processes with alternating arrival rates arise in various applications, including financial modelling. We obtain explicit expressions for the distributions of these processes, i.e. for the sums ?m=1nX(m) and ?m=1n(-1)mX(m), where X(m) are independent exponentially distributed random variables with alternating parameters. The distribution of the compound Poisson process with Markov modulation and with exponentially distributed jumps is also studied. © 2015 Elsevier B.V.	eng
dc.format.mimetype	application/pdf
dc.identifier.doi	https://doi.org/10.1016/j.spl.2015.08.006
dc.identifier.issn	1677152
dc.identifier.uri	https://repository.urosario.edu.co/handle/10336/23331
dc.language.iso	eng	spa
dc.publisher	Elsevier	spa
dc.relation.citationEndPage	78
dc.relation.citationStartPage	71
dc.relation.citationTitle	Statistics and Probability Letters
dc.relation.citationVolume	Vol. 107
dc.relation.ispartof	Statistics and Probability Letters, ISSN:1677152, Vol.107,(2015); pp. 71-78	spa
dc.relation.uri	https://www.scopus.com/inward/record.uri?eid=2-s2.0-84940029131&doi=10.1016%2fj.spl.2015.08.006&partnerID=40&md5=c410e96ef551ce3f0d9e4c0f52691c18	spa
dc.rights.accesRights	info:eu-repo/semantics/openAccess
dc.rights.acceso	Abierto (Texto Completo)	spa
dc.source.instname	instname:Universidad del Rosario	spa
dc.source.reponame	reponame:Repositorio Institucional EdocUR	spa
dc.subject.keyword	Erlang distribution	spa
dc.subject.keyword	Hyper-exponential distribution	spa
dc.subject.keyword	Hypo-exponential distribution	spa
dc.subject.keyword	Markov-modulated Poisson process	spa
dc.subject.keyword	Poisson process	spa
dc.title	Hypo-exponential distributions and compound Poisson processes with alternating parameters	spa
dc.type	article	eng
dc.type.hasVersion	info:eu-repo/semantics/publishedVersion
dc.type.spa	Artículo	spa