Probabilistic properties of non-Gaussian piecewise-linear processes on Poisson flows with independent random values at points of flow
Vasily A. Ogorodnikov, Olga V. Sereseva · Russian Journal of Numerical Analysis and Mathematical Modelling · 2018
Abstract The paper is focused on study of non-stationary piecewise-linear processes on Poisson point flows with independent identically distributed random variables at support points. An approach to calculate the correlation function of the process on the base of the total probability formula is considered. A general expression for the correlation function of a non-stationary process is obtained. Particular cases are considered. Using the method of direct simulation, it is shown numerically that the correlation function of the process has a point of inflection.