Power loss for inhomogeneous Poisson processes

DOI10.1080/03610920903447840MaRDI QIDQ3007815zbMATH OpenOpenAlexFDO

Authors Kh. Fazli

Publication date 17 June 2011

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0706.4334

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Markov processes: hypothesis testing (62M02) Non-Markovian processes: hypothesis testing (62M07)

Abstract: In this work, based on a realization of an inhomogeneous Poisson process whose intensity function depends on a real unknown parameter, we consider a simple hypothesis against a sequence of close (contiguous) alternatives. Under certain regularity conditions we obtain the power loss of the score test with respect to the Neyman-Pearson test. The power loss measures the performance of a second order efficient test by the help of third order asymptotic properties of the problem under consideration.

Recommendations

• Asymptotic deficiency of score test for inhomogeneous Poisson processes
• Hypotheses testing for a multidimensional parameter of inhomogeneous Poisson processes
• On hypothesis testing for Poisson processes: regular case
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• scientific article; zbMATH DE number 2202791

Cites work

• An introduction to the theory of point processes
• Hypotheses Testing: Poisson Versus Self-exciting
• Hypotheses testing for a multidimensional parameter of inhomogeneous Poisson processes
• Nonparametric hypothesis testing for intensity of the Poisson process
• Second-order efficient test for inhomogeneous Poisson processes
• Testing the hypothesis that a point is Poisson

Cited in

(3)

• On hypothesis testing for Poisson processes: regular case
• Second-order efficient test for inhomogeneous Poisson processes
• Asymptotic deficiency of score test for inhomogeneous Poisson processes

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