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Simulation of nonhomogeneous poisson processes by thinning

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  • P. A. W Lewis
  • G. S. Shedler

Abstract

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.

Suggested Citation

  • P. A. W Lewis & G. S. Shedler, 1979. "Simulation of nonhomogeneous poisson processes by thinning," Naval Research Logistics Quarterly, John Wiley & Sons, vol. 26(3), pages 403-413, September.
    • Handle: RePEc:wly:navlog:v:26:y:1979:i:3:p:403-413
    DOI: 10.1002/nav.3800260304
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