RCOSPP: Generation of Event Times from Trigonometric-Rate Poisson Processes
Hui-Fen Chen · 中原學報 · 2002
RCOSPP is a C-language function for generating the next event time, given the previous event time, of a Poisson process whose given rate function is cyclic, being composed of a constant and a trigonometric component. The random next event time is generated using the inverse transformation method, which requires a numerical search. RCOSPP uses an easy-to-compute starting point to initiate Newton's search, which here always converges quadratically.