Article ID Journal Published Year Pages File Type
1157085 Stochastic Processes and their Applications 2006 28 Pages PDF
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.

Related Topics
Physical Sciences and Engineering Mathematics Mathematics (General)
Authors
, ,