Compound Poisson disorder problem
成果类型：
Article
署名作者：
Dayanik, Savas; Sezer, Semih Onur
署名单位：
Princeton University; Princeton University
刊物名称：
MATHEMATICS OF OPERATIONS RESEARCH
ISSN/ISSBN：
0364-765X
DOI：
10.1287/moor.1060.0223
发表日期：
2006
页码：
649-672
关键词：
摘要：
In the compound Poisson disorder problem, arrival rate and/or jump distribution of some compound Poisson process changes suddenly at some unknown and unobservable time. The problem is to detect the change (or disorder) time as quickly as possible. A sudden regime shift may require some countermeasures be taken promptly, and a quickest detection rule can help with those efforts. We describe complete solution of the compound Poisson disorder problem with several standard Bayesian risk measures. Solution methods are feasible for numerical implementation and are illustrated by examples.
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