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Topic: Test for a poisson process
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Posts: 1
Registered: 5/3/13
Test for a poisson process
Posted: May 3, 2013 9:12 AM
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A classmate and I are doing a projet on risk management.
To cut a long story short, we need check whether our insurance data ( US$ losses caused by natural catastrophes) follow a poisson process.
We used the chi2gof test as follows:

[h_eue p_eue stat_eue]=chi2gof(x_eu,'cdf',@(z)poisscdf(z,0.2596))

where 0.2596 is the lambda we estimated by maximum likelihood.
However, this test has a default value of significance of 5% and apparently one of the catastrophes doesn't follow a poisson process at such a level. Therefore, we would like to know whether there exists another test for a poisson process that allows us to choose the significance level.

Someone suggested using the dgt test for a poisson process but I can't find evidence of it. Does anyone know if it really exists (maybe under another name)?



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