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Activity Number: 362
Type: Contributed
Date/Time: Wednesday, August 6, 2008 : 8:30 AM to 10:20 AM
Sponsor: Section on Bayesian Statistical Science
Abstract - #300644
Title: Bayesian Detection of Changes of a Poisson Process Monitored at Discrete Time Points Where the Arrival Rates Are Unknown
Author(s): Marlo Brown*+
Companies: Niagara University
Address: Dunleavy Hall, Niagara University, NY, 14109,
Keywords: Bayesian stopping rules ; Change-point detection ; Dynamic Programming ; Poisson processes ; Risk ; Unknown arrival rates
Abstract:

We look at a Poisson process where the arrival rate changes at some unknown integer. At each integer, we count the number of arrivals that happened in that time interval. We assume that the arrival rates before and after the change are unknown. 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 Bayesian stopping rules. We provide some numerical results to illustrate the effectiveness of the detection procedures.

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