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Activity Number:
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506
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Type:
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Contributed
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Date/Time:
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Thursday, August 10, 2006 : 8:30 AM to 10:20 AM
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Sponsor:
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IMS
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| Abstract - #305626 |
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Title:
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On the Bayesian Detection of a Change in the Arrival Rate of a Poisson Process
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Author(s):
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Marlo Brown*+
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Companies:
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Niagara University
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Address:
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343 Dunleavy Hall, Niagara University, NY, 14109,
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Keywords:
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Bayesian ; change-point ; risk ; dynamic programming
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Abstract:
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In the Bayesian framework, the epoch at which the arrival rate of a Poisson process is assumed is a random variable having a mixed exponential distribution. We consider the case where monitoring the arrival process is at discrete time points and the decision process is based on a sequence of independent Poisson random variables, representing the number of arrivals in the periods between observation points. For a loss function consisting of the cost of late detection and a penalty for early stopping, we develop---using dynamic programming---the one and two steps look ahead stopping rules. We give conditions under which the myopic stopping rule is optima and provide numerical results to illustrate the effectiveness of the detection procedures.
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- The address information is for the authors that have a + after their name.
- Authors who are presenting talks have a * after their name.
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