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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Bayesian approach (Shiryayev 1978)<br />
Change time τ random with exponential prior.<br />
J(T ) = c E[ (T - τ) + ] + P[ T ν }<br />
Discrete time: i.i.d. observations<br />
(Shiryayev 1978, Poor 1998)<br />
Cont<strong>in</strong>uous time: Brownian Motion<br />
(Shiryayev 1978, Beibel 2000, Karatzas 2003)<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> 6
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