Asymptotic inference for a change-point Poisson process (Q1105307)

Easily implemented asymptotic off-line procedures for the change-point Poisson process with \(\lambda\) (t), the intensity at time t, equal to \(\lambda_ 1\) if \(t\leq \tau\) and to \(\lambda_ 2\) if \(t>\tau\), are developed. They may also be applied to a problem of estimation of the location of a discontinuity in density discussed by \textit{H. Chernoff} and \textit{H. Rubin}, Proc. 3rd Berkeley Sympos. Math. Stat. Probab. 1, 19-37 (1956; Zbl 0072.363). A test for change is noted, a test of the hypothesis that \(\tau =\tau_ 0\) is proposed, and point and interval estimates of \(\tau\), \(\lambda_ 1\), and \(\lambda_ 2\) are provided. The small-sample performance of the proposed procedures is studied using simulation, and an example is given.