On hypothesis testing for Poisson processes: regular case

DOI10.1080/03610926.2014.968733MaRDI QIDQ2834636zbMATH OpenOpenAlexFDO

Authors S. Dachian, Lin Yang, Yu. A. Kutoyants

Publication date 23 November 2016

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

Full work available at URL https://arxiv.org/abs/1403.7867

zbMATH Keywords

asymptotic theorycomposite alternativeshypothesis testinginhomogeneous Poisson processesregular situation

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Asymptotic properties of parametric tests (62F05) Bayesian inference (62F15) Markov processes: hypothesis testing (62M02)

Abstract: We consider the problem of hypothesis testing in the situation when the first hypothesis is simple and the second one is local one-sided composite. We describe the choice of the thresholds and the power functions of the Score Function test, of the General Likelihood Ratio test, of the Wald test and of two Bayes tests in the situation when the intensity function of the observed inhomogeneous Poisson process is smooth with respect to the parameter. It is shown that almost all these tests are asymptotically uniformly most powerful. The results of numerical simulations are presented.

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Cites work

• Asymptotic locally optimal detector for large-scale sensor networks under the Poisson regime
• Discrimination of Poisson Processes
• Eine informationstheoretische Bedingung für die Äquivalenz unbegrenzt teilbarer Punktprozesse
• Hypotheses testing: Poisson versus stress-release
• On cusp estimation of ergodic diffusion process
• On hypothesis testing for Poisson processes: singular cases
• Testing Statistical Hypotheses

Cited in

(17)

• Hypotheses testing: Poisson versus stress-release
• Simultaneous testing of change-point location and of a regular parameter by Poisson observations
• On Neyman-Pearson minimax detection of Poisson process intensity
• On smooth change-point location estimation for Poisson processes
• On a Poissonian change-point model with variable jump size
• On hypothesis testing for Poisson processes: singular cases
• Power loss for inhomogeneous Poisson processes
• Hypotheses testing for a multidimensional parameter of inhomogeneous Poisson processes
• scientific article; zbMATH DE number 3951787 (Why is no real title available?)
• scientific article; zbMATH DE number 4009537 (Why is no real title available?)
• Tests for Monotonic Intensity in a Poisson Process
• Continuous testing for Poisson process intensities: a new perspective on scanning statistics
• Multiple hypothesis testing for Poisson processes with variable change–point intensity
• Asymptotic deficiency of score test for inhomogeneous Poisson processes
• scientific article; zbMATH DE number 2202791 (Why is no real title available?)
• Minimax and adaptive tests for detecting abrupt and possibly transitory changes in a Poisson process
• Adaptive tests of homogeneity for a Poisson process

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