Compensator of a counting process
= Compensator of a counting process
{title2=$\Lambda(t)$}
= Counting-process compensator
{synonym}
The compensator of a <counting process> $N(t)$ is a predictable increasing process $\Lambda(t)$ such that $N(t)-\Lambda(t)$ is a <local martingale>. For an observed event process with <at-risk process> $Y(t)$ and <hazard function> $h(t)$, it is $\Lambda(t)=\int_0^tY(u)h(u)\,du$ under <independent censoring>. It is cumulative intensity, rather than an event probability.