We learned about generator (rate) matrices in class, and we showed how to retrieve the generator matrix given some transition matrix that represents a Poisson process. Is there a way to go in the other direction? Given a generator matrix, can I get the Poisson process? One way I see is to first recover the transition matrix, and argue that the transition matrix meets the definition of a Poisson process. Are there any other more rigorous arguments that could be used? I'm trying to contextualize what generator matrices are actually for and how they fit into the big picture of representing a process.
2026-04-01 23:07:07.1775084827
recovering the poisson process given a generator matrix
185 Views Asked by Bumbble Comm https://math.techqa.club/user/bumbble-comm/detail At
1
There are 1 best solutions below
Related Questions in STOCHASTIC-PROCESSES
- Interpreting stationary distribution $P_{\infty}(X,V)$ of a random process
- Probability being in the same state
- Random variables coincide
- Reference request for a lemma on the expected value of Hermitian polynomials of Gaussian random variables.
- Why does there exists a random variable $x^n(t,\omega')$ such that $x_{k_r}^n$ converges to it
- Compute the covariance of $W_t$ and $B_t=\int_0^t\mathrm{sgn}(W)dW$, for a Brownian motion $W$
- Why has $\sup_{s \in (0,t)} B_s$ the same distribution as $\sup_{s \in (0,t)} B_s-B_t$ for a Brownian motion $(B_t)_{t \geq 0}$?
- What is the name of the operation where a sequence of RV's form the parameters for the subsequent one?
- Markov property vs. transition function
- Variance of the integral of a stochastic process multiplied by a weighting function
Related Questions in POISSON-DISTRIBUTION
- Given $X$ Poisson, and $f_{Y}(y\mid X = x)$, find $\mathbb{E}[X\mid Y]$
- Mean and variance of a scaled Poisson random variable
- Conditional expectation poisson distribution
- Consistent estimator for Poisson distribution
- Fitting Count Data with Poisson & NBD
- How to prove that $P(X = x-1) \cdot P(X=x+1) \le (P(X=x))^2$ for a Poisson distribution
- Expected value of geometric mean of Poisson random variables
- Show $\mu$ is unbiased and find $\mathsf{Var}(\mu)$
- $E[\min(X,2)]$ for$ X\sim Po(3)$
- High risk probability
Related Questions in POISSON-PROCESS
- Meaning of a double integral
- planar Poisson line process & angles of inclination
- In the Poisson process $N,$ find $\operatorname E[2^{N(t)}e^{-\lambda t} \mid N(s) = k]$ and $\operatorname{Var}(N(t) \mid N(s) = k)$.
- Probability Bookings in a Hotel
- Fitting Count Data with Poisson & NBD
- Expected value mixed poisson process
- Convergence of iid random variables to a poisson process
- Poisson process - 2D
- To prove that $X(t) = N(t+L) - N(t) , L > 0$ is Covariance stationary given $\{N(t) | t \geq 0\}$ is a Poisson Process.
- Poisson point process characterized by inter-arrival times
Trending Questions
- Induction on the number of equations
- How to convince a math teacher of this simple and obvious fact?
- Find $E[XY|Y+Z=1 ]$
- Refuting the Anti-Cantor Cranks
- What are imaginary numbers?
- Determine the adjoint of $\tilde Q(x)$ for $\tilde Q(x)u:=(Qu)(x)$ where $Q:U→L^2(Ω,ℝ^d$ is a Hilbert-Schmidt operator and $U$ is a Hilbert space
- Why does this innovative method of subtraction from a third grader always work?
- How do we know that the number $1$ is not equal to the number $-1$?
- What are the Implications of having VΩ as a model for a theory?
- Defining a Galois Field based on primitive element versus polynomial?
- Can't find the relationship between two columns of numbers. Please Help
- Is computer science a branch of mathematics?
- Is there a bijection of $\mathbb{R}^n$ with itself such that the forward map is connected but the inverse is not?
- Identification of a quadrilateral as a trapezoid, rectangle, or square
- Generator of inertia group in function field extension
Popular # Hahtags
second-order-logic
numerical-methods
puzzle
logic
probability
number-theory
winding-number
real-analysis
integration
calculus
complex-analysis
sequences-and-series
proof-writing
set-theory
functions
homotopy-theory
elementary-number-theory
ordinary-differential-equations
circles
derivatives
game-theory
definite-integrals
elementary-set-theory
limits
multivariable-calculus
geometry
algebraic-number-theory
proof-verification
partial-derivative
algebra-precalculus
Popular Questions
- What is the integral of 1/x?
- How many squares actually ARE in this picture? Is this a trick question with no right answer?
- Is a matrix multiplied with its transpose something special?
- What is the difference between independent and mutually exclusive events?
- Visually stunning math concepts which are easy to explain
- taylor series of $\ln(1+x)$?
- How to tell if a set of vectors spans a space?
- Calculus question taking derivative to find horizontal tangent line
- How to determine if a function is one-to-one?
- Determine if vectors are linearly independent
- What does it mean to have a determinant equal to zero?
- Is this Batman equation for real?
- How to find perpendicular vector to another vector?
- How to find mean and median from histogram
- How many sides does a circle have?
A Poisson process, considered as a counting process is a continuous-time Markov chain with generator matrix of the form $$ \left( \begin{array}{ccccc} -\lambda & \lambda & 0 & 0 & 0 \\ 0 & -\lambda & \lambda & 0 & 0 \\ 0 & 0 & -\lambda & \lambda & 0 \\ 0 & 0 & 0 & -\lambda & \lambda \\ 0&0&0&0&\ddots \end{array} \right). $$ As for "trying to contextualize what generator matrices are actually for," this is probably a question better suited to a textbook than a math.stackexchange answer :)