Optimal detection of a change-set in a spatial Poisson process

DOI10.1214/09-AAP629MaRDI QIDQ968778zbMATH OpenFDO

Authors B. Gail Ivanoff, Ely Merzbach

Publication date 6 May 2010

Published in The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1009.5748

zbMATH Keywords

point processlikelihood functionstopping setsequential detection problemsmooth semi-martingale

Mathematics Subject Classification ID

Inference from spatial processes (62M30) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stopping in statistics (62L15)

Abstract: We generalize the classic change-point problem to a "change-set" framework: a spatial Poisson process changes its intensity on an unobservable random set. Optimal detection of the set is defined by maximizing the expected value of a gain function. In the case that the unknown change-set is defined by a locally finite set of incomparable points, we present a sufficient condition for optimal detection of the set using multiparameter martingale techniques. Two examples are discussed.

Recommendations

• Optimal Detection of a Change Point in a Poisson Process for Different Observation Schemes
• A note on optimal stopping for possible change in the intensity of an ordinary Poisson process
• On the optimality of Bayesian change-point detection
• Bayesian Detection of Changes of a Poisson Process Monitored at Discrete Time Points Where the Arrival Rates are Unknown
• scientific article; zbMATH DE number 3901858

Cites work

• scientific article; zbMATH DE number 1348602 (Why is no real title available?)
• scientific article; zbMATH DE number 1487502 (Why is no real title available?)
• scientific article; zbMATH DE number 1795857 (Why is no real title available?)
• scientific article; zbMATH DE number 940800 (Why is no real title available?)
• A compensator characterization of point processes on topological lattices
• An Introduction to the Theory of Point Processes
• Optimal Detection of a Change Point in a Poisson Process for Different Observation Schemes
• Predictable and dual predictable projections of two-parameter stochastic processes
• What is a multi-parameter renewal process?

Cited in

(9)

• Optimal change point detection in Gaussian processes
• Change surfaces for expressive multidimensional changepoints and counterfactual prediction
• Fold-up derivatives of set-valued functions and the change-set problem: a survey
• Characterization of spatial Poisson process along optional increasing paths. A problem of dimension's reduction
• Differentiation of sets -- the general case
• Robustness of the \(N\)-CUSUM stopping rule in a Wiener disorder problem
• Detection of spatial change points in the mean and covariances of multivariate simultaneous autoregressive models
• Optimal detection of a jump in the intensity of a Poisson process or in a density with likelihood ratio statistics
• Optimal Detection of a Change Point in a Poisson Process for Different Observation Schemes

This page was built for publication: Optimal detection of a change-set in a spatial Poisson process

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q968778)