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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We are <strong>in</strong>terested <strong>in</strong> sequential schemes.<br />
With every new observation <strong>the</strong> test must decide<br />
Stop and issue an alarm<br />
Cont<strong>in</strong>ue sampl<strong>in</strong>g<br />
Decision at time t uses available <strong>in</strong>formation<br />
F t = σ{ξ s :06 s 6 t}.<br />
up to time t.<br />
Sequential test stopp<strong>in</strong>g time T adapted to<br />
<strong>the</strong> filtration {F t }.<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> 4
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