Spacing Distribution Associated with a Stationary Random Measure on the Real Line
Port, Sidney C. ; Stone, Charles J.
Ann. Probab., Tome 5 (1977) no. 6, p. 387-394 / Harvested from Project Euclid
Let $\mathcal{N}$ denote the collection of all Radon measures $n$ on $\mathbb{R}$ such that $0 < \lim_{x\rightarrow\infty} n((0, x\rbrack)/x = \lim_{x\rightarrow -\infty}n((x, 0\rbrack)/|x| < \infty$. For $n\in\mathscr{N}$, let $n^{-1}\in\mathscr{N}$ be the measure whose distribution function is the inverse of the distribution function of $n$. Given a random element $N$ of $\mathscr{N}$ having distribution $P$, let $P^I$ denote the distribution of $N^{-1}$. Let $N$ be a random element of $\mathscr{N}$ having stationary distribution $P$ and let $P^T$ be the appropriately defined tagged distribution corresponding to $P$. It is shown that $P^I$ has an asymptotically stationary distribution $P^S$ on $\mathscr{N}$. Moreover $P = (P^S)^S, P^I = (P^S)^T$, and $P^T = (P^S)^I. P^S$ is given explicitly in terms of $P^T$. In particular, if $N$ is purely nonatomic with probability one, then $P^S = (P^T)^I$. If $P$ is a stationary compound renewal process, then so is $P^S$.
Publié le : 1977-06-14
Classification:  Random measure,  Palm measure,  tagged distribution,  spacing distribution,  Poisson process,  compound renewal process,  60K99,  60K05
@article{1176995799,
     author = {Port, Sidney C. and Stone, Charles J.},
     title = {Spacing Distribution Associated with a Stationary Random Measure on the Real Line},
     journal = {Ann. Probab.},
     volume = {5},
     number = {6},
     year = {1977},
     pages = { 387-394},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176995799}
}
Port, Sidney C.; Stone, Charles J. Spacing Distribution Associated with a Stationary Random Measure on the Real Line. Ann. Probab., Tome 5 (1977) no. 6, pp.  387-394. http://gdmltest.u-ga.fr/item/1176995799/