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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Veröffentlicht in:Mathematics of operations research Jg. 31; H. 4; S. 649 - 672
Hauptverfasser: Dayanik, Savas, Sezer, Semih Onur
Format: Journal Article
Sprache:Englisch
Veröffentlicht: Linthicum INFORMS 01.11.2006
Institute for Operations Research and the Management Sciences
Schlagworte:
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-Zugang:Volltext
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Beschreibung
Zusammenfassung: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.
Bibliographie:ObjectType-Article-1
SourceType-Scholarly Journals-1
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ISSN:0364-765X
1526-5471
DOI:10.1287/moor.1060.0223