Asymptotic Inference for a Change-Point Poisson Process

Akman, V. E.; Raftery, A. E.

Ann. Statist., Tome 14 (1986) no. 2, p. 1583-1590 / Harvested from Project Euclid

Résumé

Easily implemented asymptotic off-line procedures for the change-point Poisson process with $\lambda(t)$, the intensity at time $t$, equal to $\lambda_1$ if $t \leq \tau$ and to $\lambda_2$ if $t > \tau$, are developed. They may also be applied to a problem of estimation of the location of a discontinuity in density discussed by Chernoff and Rubin (1956). A test for change is noted, a test of the hypothesis that $\tau = \tau_0$ is proposed, and point and interval estimates of $\tau, \lambda_1$, and $\lambda_2$ are provided. The small-sample performance of the proposed procedures is studied using simulation, and an example is given.

Publié le : 1986-12-14
Classification: Coal-mining disasters, confidence interval, consistent estimator, discontinuous density, hypothesis test, small-sample properties, 62M02, 62M05, 60G55, 62F03, 62F04, 62F05, 62F10, 62F11, 62F12, 62F25

@article{1176350178,
     author = {Akman, V. E. and Raftery, A. E.},
     title = {Asymptotic Inference for a Change-Point Poisson Process},
     journal = {Ann. Statist.},
     volume = {14},
     number = {2},
     year = {1986},
     pages = { 1583-1590},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176350178}
}

Akman, V. E.; Raftery, A. E. Asymptotic Inference for a Change-Point Poisson Process. Ann. Statist., Tome 14 (1986) no. 2, pp.  1583-1590. http://gdmltest.u-ga.fr/item/1176350178/