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It is well known that the superposition of $N$ Poisson processes is itself a Poisson process with an intensity given by $\sum_{n=1}^{N} \lambda _{n}$.

Conversely a superposition including any non-Poisson component processes is not Poisson.

However, the superposition of sparse processes converges to a Poisson process as $N\rightarrow \infty $ and as the sparseness increases. This is referred to on Wikipedia as the Palm-Khintchine theorem: a recent paper with discussion of the original work is given by Schuhmacher 2005.

If I have a collection of sampled processes, the superposition of which is well modeled as a Poisson process, under what conditions of $N$ & $\hat{\lambda_{n}}$ can I conclude that all component processes are Poisson?

P.S. This problem is known and has been studied in queuing theory. Newell 1984 provides a condition that if the component arrival processes satisfy $n(1-\rho)^2 {\gg } 1$, where $\rho$ is the utilisation, then the queue will approximate a M/M/1 queue (Poisson arrival process). How does this formula apply to the more general problem outlined above?

dylan2106
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  • Unless you know of some underlying structure to the component processes, I think you are going to have to check each one to see if it is Poisson. As an example of a useful structure where you could avoid this, if you knew the superposition process was Poisson and the sub-processes were defined by a splitting mechanism, then you may be able to immediately know the sub-processes are also Poisson. Look up splitting a Poisson process if this is unfamiliar. – soakley Sep 03 '13 at 22:11

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