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Thread: how to calculate the co-variance for poisson process?

  1. #1
    Newbie pupupanda's Avatar
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    how to calculate the co-variance for poisson process?

    Hello, can someone please help me with this problem, thanks
    N(t) is a Poisson process with rate lambda=4, Tn be the waiting time until n-th event occures.
    how can I calculate the Cov(N(3),N(7)-N(5))?
    Is it 4X3=12?
    and how can I calculate E(T10|N(3)=7)

    thank you
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  2. #2
    MHF Contributor
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    Re: how to calculate the co-variance for poisson process?

    Hey pupupanda.

    Do you know the expectation formula? Try listing that and going from first principles.

    Also - state whether the variables are independent or not.
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