Minimax Sequential Testing for Poisson Processes

2023/11/07 by Hongwei Mei, Mei, Hongwei
Decision Sciences · Engineering · #Advanced Statistical Process Monitoring #FOS: Mathematics #Fault Detection and Control Systems #Optimization and Control (math.OC) #Statistics Theory (math.ST)

paper · pdf · doi:10.48550/arxiv.2311.04084

openalex publication_date 2023/11/07 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

Suppose we observe a Poisson process in real time for which the intensity may take on two possible values λ₀ and λ₁. Suppose further that the priori probability of the true intensity is not given. We solve a minimax version of Bayesian problem of sequential testing of two simple hypotheses to minimize a linear combination of the probability of wrong detection and the expected waiting time in the worst scenario of all possible priori distributions. An equivalent characterization for the least favorable distributions is derived and a sufficient condition for the existence is concluded.

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