BACK to VOLUME 43 NO.4

Kybernetika 43(4):415-430, 2007.

Testing a Homogeneity of Stochastic Processes

Jaromír Antoch and Daniela Jarušková


Abstract:

The paper concentrates on modeling the data that can be described by a homogeneous or non-homogeneous Poisson process. The goal is to decide whether the intensity of the process is constant or not. In technical practice, e.g., it means to decide whether the reliability of the system remains the same or if it is improving or deteriorating. We assume two situations. First, when only the counts of events are known and, second, when the times between the events are available. Several statistical tests for a detection of a change in an intensity of the Poisson process are described and illustrated by an example. We cover both the case when the time of the change is assumed to be known or unknown.


Keywords: homogeneous and non-homogeneous Poisson process; counting process; change point detection;


AMS: 62F03; 62E20; 60K99;


download abstract.pdf


BIB TeX

@article{kyb:2007:4:415-430,

author = {Antoch, Jarom\'\i{}r and Jaru\v{s}kov\'{a}, Daniela },

title = {Testing a Homogeneity of Stochastic Processes},

journal = {Kybernetika},

volume = {43},

year = {2007},

number = {4},

pages = {415-430}

publisher = {{\'U}TIA, AV {\v C}R, Prague },

}


BACK to VOLUME 43 NO.4