Sequential testing of simple hypotheses about compound Poisson processes

Savas Dayanik and Semih O. Sezer

Stochastic Processes and their Applications, 2006, vol. 116, issue 12, 1892-1919

Abstract: 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.

Keywords: Sequential; hypothesis; testing; Sequential; analysis; Compound; Poisson; processes; Optimal; stopping (search for similar items in EconPapers)
Date: 2006
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Citations: View citations in EconPapers (3)

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