Sequential testing problems for Poisson processes.

DOI10.1214/AOS/1015952000zbMath1081.62546OpenAlexW2115932243MaRDI QIDQ1848801

Goran Peskir, Albert N. Shiryaev

Publication date: 14 November 2002

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.aos/1015952000

zbMATH Keywords

optimal stoppingPoisson processItô's formulaBayes decision ruleSequential testingfree-boundary differential-difference Stephan problemmeasure of jumps and its compensatorpoint (counting)(Cox) processprinciples of continuous and smooth fitSPRT (sequential probability ratio test)

Mathematics Subject Classification ID

Bayesian problems; characterization of Bayes procedures (62C10) Sequential statistical analysis (62L10) Markov processes: hypothesis testing (62M02)

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Cites Work

• Sequential analysis. Tests and confidence intervals
• On the optimality of the sprt for processes with continuous time parameter
• Continuous Sequential Testing of a Poisson Process to Minimize the Bayes Risk
• Optimum Character of the Sequential Probability Ratio Test
• Bayes and Minimax Solutions of Sequential Decision Problems
• Bayes Solutions of Sequential Decision Problems
• Sequential Decision Problems for Processes with Continuous Time Parameter Problems of Estimation
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