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On Neyman–Pearson minimax detection of Poisson process intensity

Author

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  • M. V. Burnashev

    (Russian Academy of Sciences)

Abstract

The problem of the minimax testing of the Poisson process intensity $${\mathbf{s}}$$ s is considered. For a given intensity $${\mathbf{p}}$$ p and a set $$\mathcal{Q}$$ Q , the minimax testing of the simple hypothesis $$H_{0}: {\mathbf{s}} = {\mathbf{p}}$$ H 0 : s = p against the composite alternative $$H_{1}: {\mathbf{s}} = {\mathbf{q}},\,{\mathbf{q}} \in \mathcal{Q}$$ H 1 : s = q , q ∈ Q is investigated. The case, when the 1-st kind error probability $$\alpha $$ α is fixed and we are interested in the minimal possible 2-nd kind error probability $$\beta ({\mathbf{p}},\mathcal{Q})$$ β ( p , Q ) , is considered. What is the maximal set $$\mathcal{Q}$$ Q , which can be replaced by an intensity $${\mathbf{q}} \in \mathcal{Q}$$ q ∈ Q without any loss of testing performance? In the asymptotic case ( $$T\rightarrow \infty $$ T → ∞ ) that maximal set $$\mathcal{Q}$$ Q is described.

Suggested Citation

  • M. V. Burnashev, 2021. "On Neyman–Pearson minimax detection of Poisson process intensity," Statistical Inference for Stochastic Processes, Springer, vol. 24(1), pages 211-221, April.
  • Handle: RePEc:spr:sistpr:v:24:y:2021:i:1:d:10.1007_s11203-020-09230-4
    DOI: 10.1007/s11203-020-09230-4
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    Cited by:

    1. M. V. Burnashev, 2022. "On minimax robust testing of composite hypotheses on Poisson process intensity," Statistical Inference for Stochastic Processes, Springer, vol. 25(3), pages 431-448, October.
    2. M. V. Burnashev, 2023. "On Stein’s lemma in hypotheses testing in general non-asymptotic case," Statistical Inference for Stochastic Processes, Springer, vol. 26(1), pages 89-97, April.

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