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

DOI10.1214/09-AAP629zbMATH Open1213.62130arXiv1009.5748MaRDI QIDQ968778FDOQ968778

Ely Merzbach, B. Gail Ivanoff

Publication date: 6 May 2010

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

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.

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)

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Cited In (7)

• Optimal change point detection in Gaussian processes
• Detection of spatial change points in the mean and covariances of multivariate simultaneous autoregressive models
• Robustness of the \(N\)-CUSUM stopping rule in a Wiener disorder problem
• 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
• Title not available (Why is that?)
• Differentiation of sets -- the general case

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