Nonparametric Estimation of the Cumulative Intensity Function for a Nonhomogeneous Poisson Process

Lawrence M. Leemis
Lawrence M. Leemis
The University of Oklahoma, School of Industrial Engineering, 202 West Boyd, Room 124, Norman, Oklahoma 73019
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The University of Oklahoma, School of Industrial Engineering, 202 West Boyd, Room 124, Norman, Oklahoma 73019

Published Online:1 Jul 1991https://doi.org/10.1287/mnsc.37.7.886

Abstract

A nonparametric technique for estimating the cumulative intensity function of a nonhomogeneous Poisson process from one or more realizations is developed. This technique does not require any arbitrary parameters from the modeler, and the estimated cumulative intensity function can be used to generate a point process for Monte Carlo simulation by inversion. Three examples are given.

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Volume 37, Issue 7

July 1991

Pages 751-907

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Published Online:July 01, 1991

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Lawrence M. Leemis, (1991) Nonparametric Estimation of the Cumulative Intensity Function for a Nonhomogeneous Poisson Process. Management Science 37(7):886-900.

https://doi.org/10.1287/mnsc.37.7.886

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Nonparametric Estimation of the Cumulative Intensity Function for a Nonhomogeneous Poisson Process

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Volume 37, Issue 7

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