Generate Poisson process using R

r statistics poisson stochastic-process
user734124 picture user734124 · Jun 12, 2011 · Viewed 9.2k times · Source

I want to generate a process where in every step there is a realisation of a Poisson random variable, this realisation should be saved and then it should be realize the next Poisson random variable and add it to the sum of all realisations before. Furthermore there should be a chance that in every step this process stops. Hope that makes sense to you guys... Any thought is appreciated!

Answer

Ben Bolker picture Ben Bolker · Jun 12, 2011

More compactly, pick a single geometrically distributed random number for the total number of steps achieved before stopping, then use cumsum to sum that many Poisson deviates:

stopping.prob <- 0.3  ## for example
lambda <- 3.5         ## for example
n <- rgeom(1,1-stopping.prob)+1  ## constant probability per step of stopping
cumsum(rpois(n,lambda))

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