Estimation of a Non-homogeneous Poisson Model: An Empirical Application on the Kuwaiti Time Series Data

Abstract

This article aims at applying the Nonhomogeneous Poisson process to trends of economic development. For this purpose, a modified Nonhomogeneous Poisson process is derived when the intensity rate is considered as a solution of stochastic differential equation which satisfies the geometric Brownian motion. The mean and the variance of the modified process are also obtained. The least square (LS) estimation for the model parameters are obtained. The model is applied to the Kuwaiti expenditure on gross domestic product (GNP) in Million KD data for the period from 1993 to 2002.

Key words: Nonhomogeneous Poisson Process, Mean and Variance, Geometric Brownian Motion.

The Information Technologist Vol.2(1) 2005: 54-61