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A Versatile Markovian Point Process

Marcel F. Neuts
Journal of Applied Probability
Vol. 16, No. 4 (Dec., 1979), pp. 764-779
DOI: 10.2307/3213143
Stable URL: http://www.jstor.org/stable/3213143
Page Count: 16
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A Versatile Markovian Point Process
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Abstract

We introduce a versatile class of point processes on the real line, which are closely related to finite-state Markov processes. Many relevant probability distributions, moment and correlation formulas are given in forms which are computationally tractable. Several point processes, such as renewal processes of phase type, Markov-modulated Poisson processes and certain semi-Markov point processes appear as particular cases. The treatment of a substantial number of existing probability models can be generalized in a systematic manner to arrival processes of the type discussed in this paper. Several qualitative features of point processes, such as certain types of fluctuations, grouping, interruptions and the inhibition of arrivals by bunch inputs can be modelled in a way which remains computationally tractable.

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