Quickest detection with exponential penalty for delay
نویسندگان
چکیده
منابع مشابه
Poisson Disorder Problem with Exponential Penalty for Delay
We solve the Poisson disorder problem when the delay is penalized exponentially. Our objective is to detect as quickly as possible the unobservable time of the change (or disorder) in the intensity of a Poisson process. The disorder time delimits two different regimes in which one employs distinct strategies (e.g., investment, advertising, manufacturing). We seek a stopping rule that minimizes ...
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ژورنال
عنوان ژورنال: The Annals of Statistics
سال: 1998
ISSN: 0090-5364
DOI: 10.1214/aos/1024691466