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Change-point models and conditionally pure birth processes: an inequality on the stochastic intensity

Part of: Markov processes Operations research and management science Special processes Stochastic processes

Published online by Cambridge University Press:  14 July 2016

Emilio De Santis  and
Fabio Spizzichino
Emilio De Santis*
Affiliation:
Università di Roma ‘La Sapienza’
Fabio Spizzichino*
Affiliation:
Università di Roma ‘La Sapienza’
*
∗ Postal address: Dipartimento di Matematica ‘Guido Castelnuovo’, Università di Roma ‘La Sapienza’, Piazzale Aldo Moro, 2, 00185 Roma, Italy
∗ Postal address: Dipartimento di Matematica ‘Guido Castelnuovo’, Università di Roma ‘La Sapienza’, Piazzale Aldo Moro, 2, 00185 Roma, Italy
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Abstract

We analyse several aspects of a class of simple counting processes that can emerge in some fields of applications where a change point occurs. In particular, under simple conditions we prove a significant inequality for the stochastic intensity.

Keywords

Change pointconditionally pure birth processrandom change of time-scaleload-sharing model

MSC classification

Primary: 60G55: Point processes 60J27: Continuous-time Markov processes on discrete state spaces 60K10: Applications (reliability, demand theory, etc.) 90B25: Reliability, availability, maintenance, inspection
Type
Research Papers
Information
Journal of Applied Probability , Volume 41 , Issue 4 , December 2004 , pp. 939 - 952
Copyright
Copyright © Applied Probability Trust 2004 

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