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Poisson approximations for Markov-driven point processes

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  • Blasikiewicz, M.
  • Brown, Timothy C.

Abstract

An asymptotically finite bound is derived for the total variation distance between the distribution of N(t) and the Poisson distribution with mean EN(t) when N is a simple point process whose interpoint times are exponential with means determined by an ergodic, finite-state Markov chain and when it is a Cox process with a stationary, irreducible, finite-state continuous-time Markov chain for intensity.

Suggested Citation

  • Blasikiewicz, M. & Brown, Timothy C., 1996. "Poisson approximations for Markov-driven point processes," Stochastic Processes and their Applications, Elsevier, vol. 62(1), pages 179-189, March.
    • Handle: RePEc:eee:spapps:v:62:y:1996:i:1:p:179-189
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    Cited by:

    1. Jiang, George J., 1998. "Jump-diffusion model of exchange rate dynamics : estimation via indirect inference," Research Report 98A40, University of Groningen, Research Institute SOM (Systems, Organisations and Management).
    2. repec:dgr:rugsom:98a40 is not listed on IDEAS

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    Keywords

    60G55 Poisson approximation Markov jump processes;

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