TOPICS
Search

Conditional Intensity Function


The conditional intensity lambda(t) associated to a temporal point process N is defined to be the expected infinitesimal rate at which events are expected to occur around time t given the history of N at times prior to time t. Algebraically,

 lambda(t)=lim_(Deltat->0)(E{N(t,t+Deltat)|H_t})/(Deltat)

provided the limit exists where here, H_t is the history of N over all times strictly prior to time t.


See also

Expectation Value, Limit, Point Process, Temporal Point Process

This entry contributed by Christopher Stover

Explore with Wolfram|Alpha

References

Schoenberg, F. P. "Introduction to Point Processes."

Cite this as:

Stover, Christopher. "Conditional Intensity Function." From MathWorld--A Wolfram Web Resource, created by Eric W. Weisstein. https://mathworld.wolfram.com/ConditionalIntensityFunction.html

Subject classifications