Correlation between poisoon processes

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In summary, the conversation discusses the concept of proving that two Poisson processes cannot be negatively correlated. This is done using Frechet bounds and the positivity of Poisson random variables. The speaker also mentions their background in probability and math, as well as a relevant survey article by Embrechts on copulas. They also acknowledge that the conjecture may not be entirely true and mention the possibility of constructing a Poisson distribution with negative correlation.
  • #1
dsantanu
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How to prove that two poisson processes can never be negatively correlated.
 
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  • #2
Use the Frechet bounds and positivity of Poisson random variables.
 
  • #3
Thanks bpet. But what is a frechet bound?
I have probability/math background.No physics back ground.
 
  • #4
The result is from copula theory. A good survey article is "Copulas: a personal view" by Embrechts which has a result relevant to your conjecture (which you'll find is not quite true).
 
  • #5


ok.yes it may be false actually.poisson distribution with negative correlation can be constructed.from there to poisson process may not be a big leap.Thanks very much for pointing to the article.
 

What is a poison process?

A poison process is a type of stochastic process, meaning it involves a sequence of random variables. It is used to model the behavior of events that occur randomly and independently over time. Poison processes are commonly used in fields such as biology, economics, and physics.

What is the correlation between poison processes?

The correlation between poison processes refers to the relationship between two or more poison processes. It measures the degree to which the two processes are related or influence each other. A high correlation means that the processes are positively related, while a low correlation indicates little to no relationship.

How is the correlation between poison processes calculated?

The correlation between poison processes is typically calculated using statistical methods, such as Pearson's correlation coefficient or Spearman's rank correlation coefficient. These calculations take into account the values and time intervals of the processes to determine their level of correlation.

What does a high correlation between poison processes indicate?

A high correlation between poison processes suggests that there is a strong relationship between the two processes. This could mean that they have similar patterns of randomness or that one process is influencing the other. However, it is important to note that correlation does not necessarily imply causation, so further analysis is needed to determine the exact relationship between the processes.

How are poison processes used in real-world applications?

Poison processes are commonly used in various fields for modeling and predicting random events. For example, they may be used in biology to model the growth of bacteria or in finance to predict stock market fluctuations. They can also be used in quality control to monitor the occurrence of defects in a production process. By understanding the correlation between poison processes, scientists can better analyze and predict these types of events in real-world applications.

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