• Corpus ID: 119620887

Arrival times of Cox process with independent increment with application to prediction problems

  title={Arrival times of Cox process with independent increment with application to prediction problems},
  author={Muneya Matsui},
  journal={arXiv: Probability},
  • Muneya Matsui
  • Published 1 July 2017
  • Mathematics, Computer Science
  • arXiv: Probability
Properties of arrival times are studied for a Cox process with independent (and stationary) increments. Under a reasonable setting the directing random measure is shown to take over independent (and stationary) increments of the process, from which the sets of arrival times and their numbers in disjoint intervals are proved to be independent (and stationary). Moreover, we derive the exact joint distribution of these quantities with Gamma random measure, whereas for a general random measure the… 

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