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Poisson Processes 10 - A Thinning Algorithm for Simulating Time-Inhomogeneous Poisson Processes

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May 2, 2021
30:06

This video is part of a series of lectures on Poisson Processes (a subset of a series on Stochastic Processes) aimed at individuals with some background in statistical modelling, computing, and linear algebra. This work by Etienne A.D. Pienaar is licensed under CC BY-NC-ND 4.0. References: Ross, S.M., Kelly, J.J., Sullivan, R.J., Perry, W.J., Mercer, D., Davis, R.M., Washburn, T.D., Sager, E.V., Boyce, J.B. and Bristow, V.L., 1996. Stochastic processes (Vol. 2). New York: Wiley. Stirzaker, D., 1999. Probability and random variables: a beginner's guide. Cambridge University Press. Software and Packages: R Core Team (2019). R: A language and environment for statistical computing. R Foundation for Statistical Computing, Vienna, Austria. URL https://www.R-project.org/. Useful Links: None. Materials: https://drive.google.com/drive/folders/1jj21apHBETVv6LcLqs5a7_PK2u7ZZpF1?usp=sharing Errata (if any): https://docs.google.com/document/d/1JYIJ8fP2HKhEdPbioeWoAs-1noJ724N8VYV8ZyCZ4zM/edit?usp=sharing

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Poisson Processes 10 - A Thinning Algorithm for Simulating Time-Inhomogeneous Poisson Processes | NatokHD