Conditional Intensity Function

The conditional intensity lambda(t) associated to a temporal point process N is defined to be the expected infinitesimal rate at which events are expected to occur around time t given the history of N at times prior to time t. Algebraically,

provided the limit exists where here, H_t is the history of N over all times strictly prior to time t.

See also

This entry contributed by Christopher Stover

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Stover, Christopher. "Conditional Intensity Function." From MathWorld--A Wolfram Resource, created by Eric W. Weisstein. https://mathworld.wolfram.com/ConditionalIntensityFunction.html

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