# Solved – Non homogenous Poisson process with simple rates

poisson processrsimulation

I am trying to stimulate number of claims in the next 12 months using a non-homogeneous poisson process. The rates are:

11.02 per day, during March, April and May
11.68 per day, during June, July and August
26.41 per day, during September, October, November
20.83 per day, during December, Jan and Feb


I came across the inversion method, which seems the simplest for simple rates like in my case (compared to the thinning method).

I tried to follow the algorithm:

s=0; v=seq(0,Tmax,length=1000)
X=numeric(0)
while(X[length(X)]<=Tmax){
u=runif(1)
s=s-log(u)
t=min(v[which(Vectorize(Lambda)(v)>=s)])
X=c(X,t)
}


but how do I set my lambda to change depending on the month??

Your rate function,$$\,\lambda(t)$$, will look something like the image below if I understand what you're asking. To do the procedure I think you're referencing, you need the rate function $$\lambda(t)$$ and the cumulative rate function, $$\Lambda(t) = \int_0^t \lambda(s)ds$$.

Generate a Homogeneous Poisson Process (NHPP) via Nonlinear Time Transformation
Task: generate $$\{N(t),t\ge 0\}$$ which is an NHPP with rate $$\lambda(t)$$
Given: target rate function $$\lambda(t)$$.

Let $$N_0(t)$$ be a rate-1 Poisson process (i.e. $$\lambda = 1$$). Let $$\text{E}[N(t)] = m(t)$$. Then $$m(t) = \int_0^t \lambda(s)ds$$.

Let $$N(t) = N_0(m(t))$$. Then the counting process $$\{N(t),t\ge 0\}$$ is a NHPP with rate $$\lambda(t)$$.

Procedure
1. Generate arrival times $$S_1^{(0)},S_2^{(0)},S_3^{(0)},\ldots$$ for a rate-1 Poisson Process with interarrival times $$X_1,X_2,X_3,\ldots \sim \text{Exponential}(1)$$.
2. Use the nonlinear time transformation to obtain event times: $$0\le \tilde S_1 \le \tilde S_2 \le \tilde S_3 \le \cdots$$ where $$\tilde S_n = m^{-1}\left(S_n^{(0)}\right)$$.
3. Construct the counting process $$N(t) \equiv \text{max}\{n\ge 0:\tilde S_n \le t\}$$.

If I can find time, I'll post some working code. Hope this helps.

I bootlegged the rate function like so (as an example only, the total number of days is off). All my implementations of this have been in MATLAB.

Rate = [0;ones(90,1)*11.02;
ones(90,1)*11.68;
ones(90,1)*26.41;
ones(90,1)*20.83];


Update: Added Thinning Method w/ short comparison here.