Point Process *

1. Distribution Theory

August, 2006

1 Random Measure and Point Process

Let E be a locally compact Hausdorff space whose topology has a countable base( a b b r . LCCB), with
Borel a -al gebra e. Let B b e the famil y of al l bound ed subsets of E .
Nex t, define f unc tio ns on E , henc e co nstruct fo llowi ng f unc tio nal spac es, C c C 0 :
- C , bo unded co nti nuous f unc tio ns on E .
- C 0 , bounded, continuous functions vanishing at infinity, i . e . , f E C 0 , if and only if f is continuous,
a nd f o r ev e ry € > 0, th e r e i s a c o m p ac t se t K c E , s uc h th at | f ( x ) | < € f o r al l x E / K .
- C K , co nti nuo us func ti o ns o n E , w i th c om p ac t sup po rt .

T hen, d efi ne R ad o n m easur e(NO T rand o m m easu re) and th e c ol l ec ti o ns of R ad o n m easu res.
Firstly, a measure is a function from e to [0 , oo] which satifies zero empty set and countable additivity.

Definition A R a d o n m e a s u r e p o n a H a u s d o r f f t o p o l o g i c a l s p a c e E i s d ef i n e d t o b e a m e a s u r e o n
the Borel a -algebra e that is locally finite and regular. By lo ca l ly f in i t e , we mean every point has a
neighborhood of finite measure. By r e g u l a r , we mean for every A E e,

p ( A ) = s u p { p ( K ) : K c A , K i s c o m p a c t } = i nf { p ( G ) : A c G , G i s o p e n } .

- M , the set of Radon measures on E .

- M p , the set of p o in t me a su re s on E , i . e . , p E M p if and only if p ( A ) E N for every A E B.
- M 5 , the set of simp le po int me a su re s on E , i. e . , p E M 5 if and only if p E M p and p ({ x }) 1 for
every x E E .
- M a , the set of p u r e l y a t o m i c m e a su r e s on E , i . e . , p E M a if and only if the diffuse component is
zero .
- M d , the set of d i f f u s e m e a s u r e s on E , i . e . , p E M a if and only if p ({ x }) = 0 for every x E E .

On M we define a -algebra

f M = a {I , : p  I , (f ) : f E C K }, where I , (f ) := f (x ) p (d x ).

In fact, M = a {I , : p  p (A ), A E B}. Actually, p is equivalent as I , , hence M can be

v i e w e d as a a -algebra of M . Similarly, define M p , M 5 , M a , M d as a -algebras on M p , M 5 , M a ,
M d respectively.
Use the duality of weak topology and the Rieze representation theorem, for any positive linear
f unc ti o nal L o n C K , the re is a uni q ue el em ent p i n M suc h tha t L ( f ) = I , ( f ) fo r all f .
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T h i s i s a n o t e f r o m b o o k P o in t P r oc e ss an d Th e i r St a t is t ic a l
I n fe r e nc e , b y A l a n F . K a r r .

1
Point Process 1 Zhi Ouyang August, 2006

Definition L e t ( 1 1 , F , P ) b e a p r o b a b i l i t y s p a c e .
(a) A r a n d o m m e a s u r e M on E is a measurable mapping from (11 , F) to (M , M).

(b) A p o i n t p r o c e s s N on E a measurable mapping from (11 , F) to (M r , Mr ).

Denote M f := M ( f ) := I M ( f ) := J E f ( x ) M ( d x ), where f is either non-negative and e-measurable

(denoted as in set e + ), or in C K , then M f is a random variable on (11 , F, P ). To see this, re-
c al l a r a nd o m v a ri ab l e i s a m ea su r a b l e f u nc t i o n f r o m ( 11 , F) to ( R , B ( R ) ) . Fo r w E 11 , M f ( w ) =
J
E f (x )M (w )(d x ) E R . The conditions on f ensures the measuability. Random variable M (A ) :=
M (1 A ) is called the mass of A . Another view of M f is as follows: Denote I as the intergral function
from M x C K to R , and M f = I (· , f ) o M is a measuable function(random variable).
A point process N can be viewed as a random distribution of indistinguishable points in E , i . e . ,
N ( A ) i s the rand o m v ari abl e of num b er o f po i nts in th e set A E E . T her e ex i sts a rep re senta tio n
that

NX=i are
where K  x % , h emappings
 measurable nce Nf(w , KF) f to
) =(11
from ( X(iE( ,we),
) ) . termed t h e a t o m s of N , and K is a random
(1)
i=1 values in N ¯ = {0 , 1 , 2 , . . . ,i=1
variable with oc}. X i need not to be distince, hence the order is not unique.

Definition L et µ b e an elem ent in M , and a p oint p roc ess N o n E i s call ed a P o i s s o n p r o c e s s wi th

mean measure µ if

(a) Random vairables N (A i are independent if A i E e are disjoint.

(b) For each A E e, N (A ) has a Possion distribution with mean µ (A ).

Definition L e t M b e a r a n d o m m e a s u r e o n E , a n d a p o i n t p r o c e s s N o n E i s c a l l e d a C o x P r o c e s s
if conditional on M , N is a Poisson process with mean measure M . We refer ( N , M ) as a C o x p a i r e ,
and M as the d i r e c t i n g m e a s u r e of N .

Definition G i v e n i . i . d . r a n d o m e l e m e n t s X i o f E , f i x e d i n t e g e r n , t h e p o i n t p r o c e s s N = > 1 n i = 1  x
% is an ( n -sample) e m p i r i c a l p r o c e s s on E .

Definition L et i . i . d . ra n d o m e l e m e nt s X i o f E , a nd l et K b e a n o n - n eg at i v e, i n te g e r - v al ue d r an d o m
variable independent of X i , then the point process N = > 1 K i = 1 € x % is a m i x e d e m p i r i c a l p r o c e s s on E .

Definition A point process > 1  n = 1  T n on R + is a r e n e w a l p r o c e s s with interarrival distribution F (a

p ro bability on R + if T 0 = 0 and if the interarriv al times U i are i . i . d . wi th distributi on F .

Definition A p o i n t p r o c e s s N = > 1 5 x % o n R d i s s t a t i o n a r y , i f f o r a l l x E E , t h e t r a n s l a t e d p o i n t
p roc ess N ( x ) = > 1  x % − x has the same distrib uti on as N .

2 Distribution Descriptors