Simulation of Nonhomogeneous Poisson Processes by Thinning
NAVAL POSTGRADUATE SCHOOL MONTEREY CA
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A simple and relatively efficient method for simulating one- dimensional and two-dimensional nonhomogeneous Poisson processes is presented. The method is applicable for any rate function and is based on controlled deletion of points in a Poisson process whose rate function dominates the given rate function. In its simplest implementation, the method obviates the need for numerical integration of the rate function, for ordering of points, and for generation of Poisson variates.
- Statistics and Probability