Continuous-time Estimation of a Change-point in a Poisson Process
نویسندگان
چکیده
The problem of estimation of change-points in a sequence of Poisson random variables is approached by allowing the change-point to range over the continuous time interval (0; T). A maximum-likelihood point estimator is derived, along with a Bayesian-based interval estimator. Simulation studies connrm that the true coverage probability is close to the nominal one for several locations of the change-point within the sequence and various rate changes. Finally, the procedure is applied to the British coal-mining disaster data and the results are shown to perform extremely well in comparison with previous estimates based on more complete information.
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