Minimax detection and localisation of an abrupt change in a Poisson process

Thursday 29 April 2021, 10:15 à 11:15

En distanciel

Fabrice Grela

IRMAR, Université Rennes 2

Considering a Poisson process observed on a bounded, fixed interval, we are interested in the problem of detecting an abrupt change in its distribution, characterized by a jump in its intensity. Formulated as an off-line change-point problem, we address two distinct questions : the one of detecting a change-point and the one of estimating the jump location of such change-point once detected. This study aims at proposing a non-asymptotic minimax testing set-up, first to construct a minimax and adaptive detection procedure and then to give a minimax study of a multiple testing procedure designed for change-point localisation.