Performance analysis of sequential tests between poisson processes

James Delucia, H. Vincent Poor

Research output: Contribution to journalArticle

15 Scopus citations

Abstract

The problem of performance computation for sequential tests between Poisson processes is considered. The average sample numbers and error probabilities of the sequential probability ratio test (SPRT) between two homogeneous Poisson processes are known to solve certain delay-differential equations (DDE's). Exact, numerically stable solutions to these DDE's are developed here, and their asymptotic properties are explored. These solutions are seen to be superior to earlier solutions of Dvoretsky, Kiefer, and Wolfowitz, which suffer from severe numerical instability in some ranges of parameters of interest in applications. The application of these results is illustrated in the problem of performance approximation for the cumulative sum (CUSUM) quickest detection procedure.

Original languageEnglish (US)
Pages (from-to)221-238
Number of pages18
JournalIEEE Transactions on Information Theory
Volume43
Issue number1
DOIs
StatePublished - Dec 1 1997

All Science Journal Classification (ASJC) codes

  • Information Systems
  • Computer Science Applications
  • Library and Information Sciences

Keywords

  • CUSUM
  • Delay-differential equations
  • Exit statistics
  • Poisson processes
  • SPRT

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