Detecting changes in the rate Poisson process
Detecting changes in the rate Poisson process
Detecting changes in the rate Poisson process
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Optimality of CUSUM<br />
J(T ) = sup τ essup E τ [ (T - τ) + | F τ ]<br />
<strong>in</strong>f T J(T );<br />
subject to: E ∞ [ T ] > γ<br />
If T is such that<br />
E ∞ [ T ] > E ∞ [ T C ] = γ<br />
<strong>the</strong>n<br />
J(T ) > J(T C )<br />
G.V. Moustakides: <strong>Detect<strong>in</strong>g</strong> <strong>changes</strong> <strong>in</strong> <strong>the</strong> <strong>rate</strong> of a <strong>Poisson</strong> <strong>process</strong> 22
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