ContinuousTime, DiscreteEvent Simulation from Counting Processes
Abstract
This is a method for discrete event simulation specified by survival analysis. It presents a sequence of steps. First, hazard rates from survival analysis specify the rates of a set of counting processes. Second, those counting processes define a transition kernel. Third, there are four different ways to sample that transition kernel, including a firstprinciples derivation of exact stochastic simulation algorithms (SSA) in continuous time. This simulation allows timedependent intensities which include both continuous and atomic components. Separating the steps involved makes a clear correspondence between mathematical formulation and algorithmic implementation.
 Publication:

arXiv eprints
 Pub Date:
 October 2016
 arXiv:
 arXiv:1610.03939
 Bibcode:
 2016arXiv161003939D
 Keywords:

 Statistics  Computation;
 Quantitative Biology  Populations and Evolution;
 I.6.1;
 I.6.8;
 G.3
 EPrint:
 17 pages, 1 figure