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3 22 Poisson

The document discusses the Poisson distribution and Poisson processes. It defines a Poisson process as a counting process where arrivals occur one at a time at an average rate λ per unit of time, and the number of arrivals in disjoint time periods are independent. The Poisson distribution describes the probability of a number of arrivals k in a fixed time period for a Poisson process with rate λ. Key properties are the mean and variance of the Poisson distribution both equal λ, and the additive property where independent Poisson distributions sum to another Poisson distribution.

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Shaukat Shahee
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51 views13 pages

3 22 Poisson

The document discusses the Poisson distribution and Poisson processes. It defines a Poisson process as a counting process where arrivals occur one at a time at an average rate λ per unit of time, and the number of arrivals in disjoint time periods are independent. The Poisson distribution describes the probability of a number of arrivals k in a fixed time period for a Poisson process with rate λ. Key properties are the mean and variance of the Poisson distribution both equal λ, and the additive property where independent Poisson distributions sum to another Poisson distribution.

Uploaded by

Shaukat Shahee
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd
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3.

22 Poisson Distrn

3.22 Poisson Distribution

Poisson Process

Poisson Distribution

Properties

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3.22 Poisson Distrn

Poisson Process

Let N (t) be a counting process. That is, N (t) is


the number of occurrences (or arrivals, or events) of
some process over the time interval [0, t]. N (t) looks
like a step function.

Examples: N (t) could be any of the following.


(a) Cars entering a shopping center (time).
(b) Defects on a wire (length).
(c) Raisins in cookie dough (volume).
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3.22 Poisson Distrn

Let λ > 0 be the average number of occurrences per


unit time (or length or volume).

In the above examples, we might have:


(a) λ = 10/min. (b) λ = 0.5/ft. (c) λ = 4/in3.

A Poisson process is a specific counting process. . .

First, some notation: o(h) is a generic function that


goes to zero faster than h goes to zero.
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3.22 Poisson Distrn

Definition: A Poisson process is one that satisfies


the following assumptions:
(1) There is a short enough interval of time, say of
length h, such that, for all t,

Pr(N (t + h) − N (t) = 0) = 1 − λh + o(h)


Pr(N (t + h) − N (t) = 1) = λh + o(h)
Pr(N (t + h) − N (t) ≥ 2) = o(h)

(2) If t1 < t2 < t3 < t4, then N (t4)−N (t3) and N (t2)−
N (t1) are indep RV’s.
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3.22 Poisson Distrn

English translation of Poisson process assumptions.

(1) Arrivals basically occur one-at-a-time, and then at


rate λ/unit time. (We must make sure that λ doesn’t
change over time.)

(2) The numbers of arrivals in two disjoint time inter-


vals are indep.

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3.22 Poisson Distrn

Poisson Process Example: Neutrinos hit a detector.


Occurrences are rare enough so that they really do
happen one-at-a-time. You never get arrivals of groups
of neutrinos. Further, the rate doesn’t vary over time,
and all arrivals are indep of each other.

Anti-Example: Customers arrive at a restaurant. They


show up in groups, not one-at-a-time. The rate varies
over the day (more at dinnertime). Arrivals may not
be indep. This ain’t a Poisson process.
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3.22 Poisson Distrn

Poisson Distribution

Definition: Let X be the number of occurrences in a


Poisson(λ) process in a unit interval of time. Then X
has the Poisson distribution with parameter λ.

Notation: X ∼ Pois(λ).

Theorem/Definition: X ∼ Pois(λ) ⇒
Pr(X = k) = e−λλk /k!, k = 0, 1, 2, . . ..
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3.22 Poisson Distrn

Remark: The value of λ can be changed simply by


changing the units of time.

Example:
X = # calls to a switchboard in 1 minute ∼ Pois(3)
Y = # calls to a switchboard in 5 minutes ∼ Pois(15)
Z = # calls to a switchboard in 10 sec ∼ Pois(0.5)

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3.22 Poisson Distrn

Properties

t−1)
Theorem: X ∼ Pois(λ) ⇒ mgf is MX (t) = eλ(e .

Proof:
∞  −λ k 
 e λ
MX (t) = E[etX ] = etk
k=0 k!
∞
 (λet)k
= e −λ
k=0 k!

= −λ λe
e e .
t

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3.22 Poisson Distrn

Theorem: X ∼ Pois(λ) ⇒ E[X] = Var(X) = λ.

Proof (using mgf):



d 
E[X] = MX (t)
dt t=0

d λ(et−1)
= e 
dt 
t=0


= λe MX (t)
t (chain rule)
t=0

= λ (after algebra).
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3.22 Poisson Distrn

Similarly,
  
d2 
 d d 
E[X 2] = 2
M X (t) 

= MX (t) 
dt t=0 dt dt t=0

d t 
= λ (e MX (t))
dt t=0
 
d 
= λ etMX (t) + e MX (t) 
t
dt t=0
 

= λet MX (t) + λe MX (t) 
t
t=0

= λ(1 + λ).
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3.22 Poisson Distrn

Thus,

Var(X) = E[X 2] − (E[X])2 = λ(1 + λ) − λ2 = λ.

Done.

Example: Calls to a switchboard arrive as a Poisson


process with rate 3 calls/min.

Let X = number of calls in 40 sec. So X ∼ Pois(2).

3 −22k /k!
E[X] = Var(X) = 2, Pr(X ≤ 3) = k=0 e
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3.22 Poisson Distrn

Theorem (Additive Property of Poissons): Suppose


X1, . . . , Xn are indep with Xi ∼ Pois(λi), i = 1, . . . , n.
Then
n
 n

Y ≡ Xi ∼ Pois( λi).
i=1 i=1
Proof:
n

MY (t) = MXi (t) (Xi’s indep)
i=1
n
 t −1) n t −1)
= eλi (e = e( i=1 λi )(e ,
i=1
n
which is the mgf of the Pois( i=1 λi) distribution.
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