Extensions of the Generalized Pólya Process

Abstract

A new self-exciting counting process is here considered, which extends the generalized Pólya process introduced by Cha (Adv Appl Probab 46:1148–1171, 2014). Contrary to Cha’s original model, where the intensity of the process (linearly) increases at each jump time, the extended version allows for more flexibility in the dependence between the point-wise intensity of the process at some time t and the number of already observed jumps. This allows the “extended Pólya process” to be appropriate, e.g., for describing successive failures of a system subject to imperfect but effective repairs, where the repair can lower the intensity of the underlying counting process. Probabilistic properties of the new process are studied (construction from a homogeneous pure-birth process, conditions of non explosion, computation of distributions, convergence of a sequence of such processes, ...) and its connection with Generalized Order Statistics is highlighted. Positive dependence properties are next explored. Finally, the maximum likelihood method is considered in a parametric setting and tested on a few simulated data sets, to highlight the practical use of the new process in an application context.