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Simulating nonhomogeneous poisson processes with proportional intensities

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  • R. Guo
  • C. E. Love

Abstract

The purpose of this research is to investigate simulation algorithms for nonhomogeneous Poisson processes with proportional intensities. Two algorithmic approaches are studied: inversion and thinning. Motivated by industrial practices, the covariate vector involved in the simulation is permitted to change after every event (or observation). The algorithms are extended to permit the simulation of general nonhomogeneous Poisson processes with possible discontinuities both in baseline intensity and covariate vector. This latter extension can be used to facilitate a wide range of failure situations that can arise with repairable systems. © 1994 John Wiley & Sons, Inc.

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  • R. Guo & C. E. Love, 1994. "Simulating nonhomogeneous poisson processes with proportional intensities," Naval Research Logistics (NRL), John Wiley & Sons, vol. 41(4), pages 507-522, June.
    • Handle: RePEc:wly:navres:v:41:y:1994:i:4:p:507-522
    DOI: 10.1002/1520-6750(199406)41:43.0.CO;2-H
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    References listed on IDEAS

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    1. J. D. Beasley & S. G. Springer, 1977. "The Percentage Points of the Normal Distribution," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 26(1), pages 118-121, March.
    2. Leemis, Lawrence M. & Shih, Li-Hsing & Reynertson, Kurt, 1990. "Variate generation for accelerated life and proportional hazards models with time dependent covariates," Statistics & Probability Letters, Elsevier, vol. 10(4), pages 335-339, September.
    3. P. A. W Lewis & G. S. Shedler, 1979. "Simulation of nonhomogeneous poisson processes by thinning," Naval Research Logistics Quarterly, John Wiley & Sons, vol. 26(3), pages 403-413, September.
    4. Lawrence M. Leemis, 1987. "Technical Note—Variate Generation for Accelerated Life and Proportional Hazards Models," Operations Research, INFORMS, vol. 35(6), pages 892-894, December.
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    Cited by:

    1. Guo R. & Ascher H. & Love E., 2001. "Towards Practical and Synthetical Modelling of Repairable Systems," Stochastics and Quality Control, De Gruyter, vol. 16(1), pages 147-182, January.

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