JOURNAL OF SHANDONG UNIVERSITY(NATURAL SCIENCE) ›› 2018, Vol. 53 ›› Issue (4): 55-58.doi: 10.6040/j.issn.1671-9352.0.2017.402

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Low order moments of self-excited filtered Poisson processes based on joint distribution of event points

MA Ming, BIAN Li-na*, LIU Hua   

  1. School of Mathematics and Computer Science, Northwest Minzu University, Lanzhou 730030, Gansu, China
  • Received:2017-08-15 Online:2018-04-20 Published:2018-04-13

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Abstract: Based on the joint distribution of event points, the first and second order moments of the self-excited shot noise process are given. On this basis, the first and second order moments of Poisson process of self-excited filtering are obtained.

Key words: self-exciting shot noise process, self-exciting filtered Poisson process, customer lifetime value, moment

CLC Number: 

  • O211.6
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