Detecting changes in a Poisson process monitored at random time intervals

DOI10.1080/07474946.2016.1206381zbMath1351.62158OpenAlexW2519493386MaRDI QIDQ2830723

Marlo Brown

Publication date: 28 October 2016

Published in: Sequential Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474946.2016.1206381

zbMATH Keywords

dynamic programmingriskPoisson processeschange-point detectionBayesian stopping rulesrandomized processes

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stopping in statistics (62L15)

Related Items (2)

Compound Poisson disorder problem with uniformly distributed disorder time ⋮ Detecting changes in a Poisson process monitored at uneven time intervals where the arrival rates are unknown

Cites Work

• Bayes procedures for detecting a shift in the probability of success in a series of Bernoulli trials
• A note on optimal stopping for possible change in the intensity of an ordinary Poisson process
• Randomized observation periods for the compound Poisson risk model: the discounted penalty function
• Wiener Disorder Problem with Observations at Fixed Discrete Time Epochs
• Detecting Changes in a Poisson Process Monitored at Unequal Discrete Time Intervals
• Optimal Detection of a Change Point in a Poisson Process for Different Observation Schemes
• Bayesian Detection of Changes of a Poisson Process Monitored at Discrete Time Points Where the Arrival Rates are Unknown

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