Compound Poisson Disorder Problem

In the compound Poisson disorder problem, arrival rate and/or jump distribution of some compound Poisson process changes suddenly at some unknown and unobservable time. The problem is to detect the change (or disorder) time as quickly as possible. A sudden regime shift may require some countermeasur...

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Vydáno v:Mathematics of operations research Ročník 31; číslo 4; s. 649 - 672
Hlavní autoři: Dayanik, Savas, Sezer, Semih Onur
Médium: Journal Article
Jazyk:angličtina
Vydáno: Linthicum INFORMS 01.11.2006
Institute for Operations Research and the Management Sciences
Témata:
Analysis
Approximation
Bayesian analysis
Bayesian statistical decision theory
Chromosome disorders
compound Poisson processes
Determinism
Equations
Markov processes
Mathematical constants
Mathematical functions
Mathematical models
Mathematics
optimal stopping
Poisson disorder problem
Poisson distribution
Poisson equation
quickest detection
Random variables
Stopping distances
Studies
Study and teaching
ISSN:0364-765X, 1526-5471
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Popis
Shrnutí:In the compound Poisson disorder problem, arrival rate and/or jump distribution of some compound Poisson process changes suddenly at some unknown and unobservable time. The problem is to detect the change (or disorder) time as quickly as possible. A sudden regime shift may require some countermeasures be taken promptly, and a quickest detection rule can help with those efforts. We describe complete solution of the compound Poisson disorder problem with several standard Bayesian risk measures. Solution methods are feasible for numerical implementation and are illustrated by examples.
Bibliografie:ObjectType-Article-1
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ISSN:0364-765X
1526-5471
DOI:10.1287/moor.1060.0223