On rescaled Poisson processes and the Brownian bridge

Rick Schoenberg
Properties of the process obtained by rescaling a homogeneous Poisson process by the maximum likelihood estimate of its intensity are investigated. Formulas for the conditional intensity and moments of the rescaled Poisson process are derived, and its behavior is demonstrated using simulations. Relationships to the Brownian Bridge are explored, and implications for point process residual analysis are discussed.
1999-09-01