非齐次泊松点过程的一种模拟方法

IF 0.4 Q4 MATHEMATICS, APPLIED Numerical Analysis and Applications Pub Date : 2022-03-04 DOI:10.1134/s1995423922010013

T. A. Averina

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引用次数: 0

摘要

摘要在统计上解决跳跃扩散型系统的分析、综合和过滤问题时，需要模拟非齐次泊松点过程。为此，有时会使用依赖于过程平常性的算法。本文对该算法进行了改进，构造了一种具有成本效益的模拟随机变量的方法。所开发的方法在统计上的充分性是通过测试问题来检验的。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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One Method for Simulating Inhomogeneous Poisson Point Process

Abstract

When problems of analysis, synthesis, and filtration for systems of the jump-diffusion type are solved statistically, it is necessary to simulate an inhomogeneous Poisson point process. To this end, sometimes the algorithm relying on the ordinariness of the process is used. In this paper, a modification of this algorithm, using a cost-effective method for simulating random variables, is constructed. The statistical adequacy of the method developed is checked on test problems.

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来源期刊

Numerical Analysis and Applications MATHEMATICS, APPLIED-

CiteScore

1.00

自引率

0.00%

发文量

期刊介绍： Numerical Analysis and Applications is the translation of Russian periodical Sibirskii Zhurnal Vychislitel’noi Matematiki (Siberian Journal of Numerical Mathematics) published by the Siberian Branch of the Russian Academy of Sciences Publishing House since 1998. The aim of this journal is to demonstrate, in concentrated form, to the Russian and International Mathematical Community the latest and most important investigations of Siberian numerical mathematicians in various scientific and engineering fields. The journal deals with the following topics: Theory and practice of computational methods, mathematical physics, and other applied fields; Mathematical models of elasticity theory, hydrodynamics, gas dynamics, and geophysics; Parallelizing of algorithms; Models and methods of bioinformatics.