On Neyman–Pearson minimax detection of Poisson process intensity
The problem of the minimax testing of the Poisson process intensity s is considered. For a given intensity p and a set Q , the minimax testing of the simple hypothesis H 0 : s = p against the composite alternative H 1 : s = q , q ∈ Q is investigated. The case, when the 1-st kind error probability α...
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Veröffentlicht in: | Statistical inference for stochastic processes : an international journal devoted to time series analysis and the statistics of continuous time processes and dynamic systems 2021-04, Vol.24 (1), p.211-221 |
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Format: | Artikel |
Sprache: | eng |
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Zusammenfassung: | The problem of the minimax testing of the Poisson process intensity
s
is considered. For a given intensity
p
and a set
Q
, the minimax testing of the simple hypothesis
H
0
:
s
=
p
against the composite alternative
H
1
:
s
=
q
,
q
∈
Q
is investigated. The case, when the 1-st kind error probability
α
is fixed and we are interested in the minimal possible 2-nd kind error probability
β
(
p
,
Q
)
, is considered. What is the maximal set
Q
, which can be replaced by an intensity
q
∈
Q
without any loss of testing performance? In the asymptotic case (
T
→
∞
) that maximal set
Q
is described. |
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ISSN: | 1387-0874 1572-9311 |
DOI: | 10.1007/s11203-020-09230-4 |