Sequential testing of simple hypotheses about compound Poisson processes

STOCHASTIC PROCESSES AND THEIR APPLICATIONS

卷:116

Article

Dayanik, Savas ; Sezer, Semih O.

关键词: sequential hypothesis testing;    sequential analysis;    compound Poisson processes;    optimal stopping;   

DOI  :  10.1016/j.spa.2006.05.004

来源: Elsevier

【 摘 要 】

One of two simple hypotheses for the unknown arrival rate and jump distribution of a compound Poisson process is correct. We start observing the process, and the problem is to decide on the correct hypothesis as soon as possible and with the smallest probability of wrong decision. We find a Bayes-optimal sequential decision rule and describe completely how to calculate its parameters without any restrictions on the arrival rate and the jump distribution. (c) 2006 Elsevier B.V. All rights reserved.

【 授权许可】

Free