ExponentialDistributionPoissonProcess.pptVIP

Chapter 5 Exponential Distribution Poisson Process Memorylessness other exponential distribution properties; Poisson process; Nonhomogeneous compound P.P.’s Exponential Distribution: Basic Facts Density CDF MGF Mean Variance Key Property: Memorylessness Reliability: Amount of time a component has been in service has no effect on the amount of time until it fails Inter-event times: Amount of time since the last event contains no information about the amount of time until the next event Service times: Amount of remaining service time is independent of the amount of service time elapsed so far Other Useful Properties Competing Exponentials: If X1 and X2 are independent exponential r.v.’s with parameters l1 and l2, resp., then (generalizes to any number of competing r.v.’s) Minimum of exponentials: If X1, X2 , …, Xn are independent exponential r.v.’s where Xn has parameter li, then min(X1, X2 , …, Xn) is exponential w/parameter l1 + l2 + … + ln Counting Process A stochastic process {N(t), t ? 0} is a counting process if N(t) represents the total number of events that have occurred in [0, t] Then {N(t), t ? 0} must satisfy: N(t) ? 0 N(t) is an integer for all t If s t, then N(s) ? N(t) For s t, N(t) - N(s) is the number of events that occur in the interval (s, t]. Stationary Independent Increments A counting process has independent increments if, for any That is, the numbers of events that occur in nonoverlapping intervals are independent random variables. A counting process has stationary increments if the distribution if, for any s t, the distribution of N(t) – N(s) depends only on the length of the time interval, t – s. Poisson Process Definition 1 A counting process {N(t), t ? 0} is a Poisson process with rate l, l 0, if N(0) = 0 The process has independent increments The number of events in any interval of length t follows a Poisson distribution with mean lt (therefore, it has stationary increments), i.e., Poisson Process De