Sequential testing of simple hypotheses about compound Poisson processes
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Publication:860706
DOI10.1016/j.spa.2006.05.004zbMath1103.62073MaRDI QIDQ860706
Savas Dayanik, Semih Onur Sezer
Publication date: 9 January 2007
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spa.2006.05.004
62F15: Bayesian inference
62C10: Bayesian problems; characterization of Bayes procedures
60G40: Stopping times; optimal stopping problems; gambling theory
62L10: Sequential statistical analysis
62L15: Optimal stopping in statistics
62M02: Markov processes: hypothesis testing
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Cites Work
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- Point processes and queues. Martingale dynamics
- Sequential testing problems for Poisson processes.
- Some remarks on first passage of Lévy processes, the American put and pasting principles
- On the optimality of the sprt for processes with continuous time parameter
- Problems in sequential decision between hypotheses for a combined Poisson process with exponential jumps
- Compound Poisson Disorder Problem
- Optimum Character of the Sequential Probability Ratio Test
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