On the longest gap between power-rate arrivals

Abstract

Let $L_{t}$ be the longest gap before time $t$ in an inhomogeneous Poisson process with rate function $\lambda_{t}$ proportional to $t^{\alpha-1}$ for some $\alpha\in(0,1)$. It is shown that $\lambda_{t}L_{t}-b_{t}$ has a limiting Gumbel distribution for suitable constants $b_{t}$ and that the distance of this longest gap from $t$ is asymptotically of the form $(t/\log t)E$ for an exponential random variable $E$. The analysis is performed via weak convergence of related point processes. Subject to a weak technical condition, the results are extended to include a slowly varying term in $\lambda_{t}$.