Classical bi-Poisson process: an invertible quadratic harness

Details Classical bi-Poisson process: an invertible quadratic harness Classical bi-Poisson process: an invertible quadratic harness

2005-08-20

arxiv.org/abs/math/0508383v1

Statistics & Probability Letters 76 (2006), 1664-1674

Mathematics

Probability

Scientific paper

We give an elementary construction of a time-invertible Markov process which
is discrete except at one instance. The process is one of the quadratic
harnesses studied in our previous papers and can be regarded as a random joint
of two independent Poisson processes.

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