Information-based thinning of point processes and its application to shock models

Ji Hwan Cha, Maxim Finkelstein

Research output: Contribution to journalArticlepeer-review

16 Scopus citations


Thinning of point processes is a useful operation that is implemented in various stochastic models. When the initial point process is the nonhomogeneous Poisson process (NHPP), the thinned processes are also nonhomogeneous Poisson processes independent of each other. The crucial assumption in deriving this result is that the corresponding classification of events is independent of all other events, including the history of the process. However, in practice, this classification is often dependent on the history. In our paper, we define and describe the thinned processes for the history-dependent case using different levels of available information. We also discuss the applications of the obtained general results to the corresponding shocks models.

Original languageEnglish
Pages (from-to)2345-2350
Number of pages6
JournalJournal of Statistical Planning and Inference
Issue number8
StatePublished - Aug 2012


  • Conditional intensity
  • History-dependent thinning
  • Partial information
  • Shock model
  • Thinning of point processes


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