Estimation of The Intensity Function of Non-Homogeneous Poisson Process Using Non-Parametric Density Estimation Methods

Document Type : Original Article

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Abstract

This paper presents a contribution in the non-parametric estimation of the intensity function of non-homogeneous Poison process from the practical point of view. The cumulative distribution functions of the times of successive events are obtained and the method of Monte Carlo is used to simulate the Poison process with intensity function λ(t) = ae^(-bt) The authors selected samples of different sizes from this process and the data of these samples is used to estimate the intensity function by the histogram method and the kernel method with different kerns. The figures of estimates are obtained and the measure of discrepancy D = supt|λ^(t) - λ(t)|  is calculated.

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The Egyptian Statistical Journal
Volume 35, Issue 2
December 1991
Pages 324-338

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