Back To Index Previous Article Next Article Full Text


Statistica Sinica 21 (2011), 597-624





EARLY DETECTION OF A CHANGE IN POISSON RATE

AFTER ACCOUNTING FOR POPULATION SIZE EFFECTS


Yajun Mei, Sung Won Han and Kwok-Leung Tsui


Georgia Institute of Technology


Abstract: Motivated by applications in bio and syndromic surveillance, this article is concerned with the problem of detecting a change in the mean of Poisson distributions after taking into account the effects of population size. The family of generalized likelihood ratio (GLR) schemes is proposed and its asymptotic optimality properties are established under the classical asymptotic setting. However, numerical simulation studies illustrate that the GLR schemes are at times not as efficient as two families of ad-hoc schemes based on either the weighted likelihood ratios or the adaptive threshold method that adjust the effects of population sizes. To explain this, a further asymptotic optimality analysis is developed under a new asymptotic setting that is more suitable to our finite-sample numerical simulations. In addition, we extend our approaches to a general setting with arbitrary probability distributions, as well as to the continuous-time setting involving the multiplicative intensity models for Poisson processes, but further research is needed.



Key words and phrases: Change-point, CUSUM, generalized likelihood ratio, monitoring, Poisson observations, stopping time.

Back To Index Previous Article Next Article Full Text