Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1157085 | Stochastic Processes and their Applications | 2006 | 28 Pages |
Abstract
One of two simple hypotheses for the unknown arrival rate and jump distribution of a compound Poisson process is correct. We start observing the process, and the problem is to decide on the correct hypothesis as soon as possible and with the smallest probability of wrong decision. We find a Bayes-optimal sequential decision rule and describe completely how to calculate its parameters without any restrictions on the arrival rate and the jump distribution.
Keywords
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Physical Sciences and Engineering
Mathematics
Mathematics (General)
Authors
Savas Dayanik, Semih O. Sezer,