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Biometrika 1976 63(3):501-505; doi:10.1093/biomet/63.3.501
© 1976 by Biometrika Trust
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Simulation of nonhomogeneous Poisson processes with log linear rate function

P. A. W. LEWIS and G. S. SHEDLER

Naval Postgraduate School Monterey, California
I.B.M. Research Laboratory San Jose, California

An efficient method for simulating a nonhomogeneous Poisson process with rate function {lambda}(t) = exp({alpha}0+{alpha}1t) is given. The method ia based on an identity relating the nonhomogeneous Poisson process to the gap statistics from a random number of exponential random variables with suitably chosen parameters; it avoids costly ordering and taking of logarithms required by direct simulation methods and is more efficient than time scale transformations of a homogeneous Poisson process.

Key Words: Gap statistics • Log linear rate function • Nonhomogeneous Poisson procees • Simulation


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