Sequential multi-hypothesis testing for compound Poisson processes

DOI10.1080/17442500701594490MaRDI QIDQ5451159zbMATH OpenOpenAlexFDO

Authors Savas Dayanik, H. Vincent Poor, Semih Onur Sezer

Publication date 18 March 2008

Published in Stochastics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/17442500701594490

zbMATH Keywords

compound Poisson processesoptimal stoppingsequential analysissequential hypothesis testing

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Bayesian problems; characterization of Bayes procedures (62C10) Bayesian inference (62F15) Sequential statistical analysis (62L10) Optimal stopping in statistics (62L15) Non-Markovian processes: hypothesis testing (62M07)

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Cites work

• Adaptive Poisson disorder problem
• Bayes Solutions of Sequential Decision Problems
• Compound Poisson Disorder Problem
• scientific article; zbMATH DE number 3607222 (Why is no real title available?)
• scientific article; zbMATH DE number 3090557 (Why is no real title available?)
• Sequential testing of simple hypotheses about compound Poisson processes
• Sequential testing problems for Poisson processes.
• Stochastic differential equations. An introduction with applications.

Cited in

(16)

• Multisource Bayesian sequential binary hypothesis testing problem
• Detecting the presence of a random drift in Brownian motion
• Infinitesimal generators for two-dimensional Lévy process-driven hypothesis testing
• Optimal real-time detection of a drifting Brownian coordinate
• An optimal sequential procedure for determining the drift of a Brownian motion among three values
• Optimal sequential testing for an inverse Gaussian process
• On the Wald's sequential probability ratio test for Lévy processes
• Quickest search over Brownian channels
• Bayesian quickest detection in sensor arrays
• Problems in sequential decision between hypotheses for a combined Poisson process with exponential jumps
• Sequential testing problems for Lévy processes
• Sequential hypothesis testing in machine learning, and crude oil price jump size detection
• Poisson limits for sequential multivariate multinomial data
• Compound Poisson disorder problem with general disorder prior density
• Optimal sequentially planned hypothesis tests for stochastic processes with stationary and independent increments
• Sequential testing of simple hypotheses about compound Poisson processes

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