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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Bibliographic Details
Published in:	Mathematics of operations research Vol. 31; no. 4; pp. 649 - 672
Main Authors:	Dayanik, Savas, Sezer, Semih Onur
Format:	Journal Article
Language:	English
Published:	Linthicum INFORMS 01.11.2006 Institute for Operations Research and the Management Sciences
Subjects:	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
Online Access:	Get full text
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