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Sequential Analysis
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Bayesian Detection of Changes of a Poisson Process Monitored at Discrete
Time Points Where the Arrival Rates are Unknown
Marlo Brown
a
a
Department of Mathematics, Niagara University, New York, USA
To cite this Article Brown, Marlo(2008) 'Bayesian Detection of Changes of a Poisson Process Monitored at Discrete Time
Points Where the Arrival Rates are Unknown', Sequential Analysis, 27: 1, 68 77
To link to this Article: DOI: 10.1080/07474940701801994
URL: http://dx.doi.org/10.1080/07474940701801994
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Sequential Analysis, 27: 6877, 2008
Copyright Taylor & Francis Group, LLC
ISSN: 0747-4946 print/1532-4176 online
DOI: 10.1080/07474940701801994
Bayesian Detection of Changes of a Poisson Process
Monitored at Discrete Time Points Where
the Arrival Rates are Unknown
Marlo Brown
Department of Mathematics, Niagara University, New York, USA
Abstract: We look at a Poisson process where the arrival rate changes at some unknown
integer. At each integer, we count the number of arrivals that happened in that time interval.
We assume that the arrival rates before and after the change are unknown. For a loss
function consisting of the cost of late detection and a penalty for early stopping, we develop,
using dynamic programming, the one- and two-step look-ahead Bayesian stopping rules. We
provide some numerical results to illustrate the effectiveness of the detection procedures.
Keywords: Bayesian stopping rules; Change-point detection; Dynamic programming;
Poisson processes; Risk; Unknown arrival rates.
Subject Classications: 62L15; 60G40.
1. INTRODUCTION
Detection of changes in the distribution of random variables has become very
important in many aspects of life today. When there is an increase in the arrival
rates of patients coming to a hospital, it is important to detect this change as soon
as possible. This could be due to environmental factors or other issues. This is also
important in industry, where quality control depends upon being able to detect
changes in the process mean as soon as possible.
There are many published papers dealing with the topic of detection of
changes in the distribution of data. Shewhans (1926) control charts for means
and standard deviations, Pages (1954) continuous inspection schemes, and Pages
(1962) cumulative sum schemes are all process control procedures designed to detect
Received July 5, 2005, Revised January 24, 2007, February 13, 2007, August 9, 2007,
Accepted November 6, 2007
Recommended by N. Mukhopadhyay
Address correspondence to Marlo Brown, Department of Mathematics, Niagara
University, NY 14109, USA; Fax: 716-286-8215; E-mail: mbrown@niagara.edu
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Bayesian Detection of Changes of a Poission Process 69
changes in the distributions of sequences of observed data. Chernoff and Zacks
(1964), Hinkley and Hinkley (1970), Kander and Zacks (1966), and Smith (1975)
investigated the Bayesian detection procedures for xed a sample sizes. See Zacks
(1983) for a survey of papers on change-point problems. Shiryaev (1978) studied
optimal Bayesian procedures for detecting changes when the process is stopped
as soon as a change is detected. Zacks and Barzily (1981) extended the work of
Shiryaev for the case of Bernoulli sequences. Optimal stopping rules were described
based on dynamic programming procedures. In general, nding optimal stopping
rules is quite difcult. Zacks and Barzily gave explicit formulas for nding one- and
two-step-ahead suboptimal procedures.
Several studies were published recently on detecting changes in the intensity of
a homogeneous ordinary Poisson process. Among these studies, we mention Peskir
and Shiryaev (2002), Herberts and Jensen (2004), and Brown and Zacks (2006a).
These papers dealt with a Poisson process that is monitored continuously.
Brown and Zacks (2006b) also studied a Poisson process that is monitored only
at discrete time points. In that paper, we look at the sequence of random variables
X
i
, where X
i
is the number of arrivals that occur in the time interval (i 1. i].
Thus, we see only the number of arrivals that happen in each time interval, not
exactly where the arrivals occurred within that time interval. In all of the above
papers, it was assumed that the arrival rates both before and after the change are
known. In the present paper, we assume that the arrival rates before and after the
change are unknown and the change is positive. We assume that, the change point
t is an unknown integer. We use a Bayesian approach. We put Shiryaevs (1978)
geometric prior distribution on the change point t and a uniform 0 - z
1
- z
2
- M
prior distribution on the two arrival rates z
1
and z
2
.
In Section 2, we discuss the posterior process of calculating the probability
that a change has already occurred by time n. In Section 3, we discuss the optimal
stopping rule based on dynamic programming procedures. We assume there is a cost
associated with stopping early and a cost associated with late detection. We develop
optimal stopping rules that will minimize the expected cost. In Section 4, we give
an explicit formulation of the two-step-ahead stopping rule. We conclude with a
numerical example showing how our method works.
2. THE BAYESIAN FRAMEWORK
We have a Poisson process, but we are only able to observe this process at xed
discrete time points. Let X
i
be the number of arrivals in the interval (i 1. i]. We
denote
n
as the o-eld generated by ]X
1
. . . . . X
n
]. At the end of some unknown
interval indexed by an integer t, the rate of arrivals increases from z
1
to z
2
.
We assume the arrival rates before and after the change, namely, z
1
and z
2
, are
unknown, as is the change point t. Our goal is to nd a detection procedure that
will detect the change point t as soon as possible. The event ]t = 0] represents the
case where the change happens prior to the rst observed interval. In this case all the
observations are taken from a process with the arrival rate at z
2
. The event ]t = r]
means that the change happens at the end of the rth interval. Dene T
r
=

r
i=1
X
i
as
the total number of arrivals before time r and T

nr
=

n
i=r+1
X
i
as the total number
of arrivals after time r. T
0
0 and T

0
= 0. Thus, when t = r, T
r
is a Poisson (rz
1
)
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70 Brown
and T

nr
is Poisson ((n r)z
2
). If (z
1
. z
2
) are both known, the likelihood of t is
given by
L (t
n
) =
n1

r=0
I (t = r)z
T
r
1
z
T

nr
2
e
z
1r
z
2
(nr)
+I (t n)e
z
1
n
z
T
n
1
. (2.1)
When (z
1
. z
2
) are unknown, the prole likelihood function of t is the expected
value of (2.1) with respect to the prior distribution of (z
1
. z
2
). We assume a priori
that (z
1
. z
2
) is uniformly distributed in some interval 0 - z
1
- z
2
- M. That is, we
know that when the change happens, the arrival rates have increased, and we also
know that the arrival rates are bounded and uniform in a certain interval. Thus the
prole likelihood function of t, given
n
, is
L

(t
n
) = I (t = 0)

M
0

z
2
0
e
z
2
n
z
T
n
2
Jz
1
Jz
2
+
n1

r=1
I (t = r)

M
0

z
2
0
z
T
r
1
z
T

nr
2
e
z
1
rz
2
(nr)
Jz
1
Jz
2
+I (t n)

M
0

z
2
0
e
z
1
n
z
T
n
1
Jz
1
Jz
2
. (2.2)
For r = 0, let
L
0
=

M
0

z
2
0
e
z
2
n
z
T
n
2
Jz
1
Jz
2
=
(T
n
+1)!
n
T
n
+2
P(T
n
+1; Mn). (2.3)
where P(X; z) is the survival function of the Poisson distribution with parameter z.
For 1 r n 1, let
L
r
=

M
0
z
T

nr
2
e
z
2
(nr)

z
2
0
z
T
r
1
e
z
1
r
Jz
1
Jz
2
=
T
r
!
r
T
r
+1

M
0
z
T

nr
2
e
z
2
(nr)
P(T
r
; rz
2
)Jz
2
= T
r
!

;=0
r
;
(T
n
+; +1)!
(T
r
+; +1)!n
T
n
+; +2
P(T
n
+; +1; Mn). (2.4)
Finally, let
L
n
=

M
0

M
z
1
e
z
1
n
z
T
n
1
Jz
2
Jz
1
=
T
n
!
n
T
n
+1

MP(T
n
; Mn)
T
n
+1
n
P(T
n
+1; Mn)

. (2.5)
We put Shiryaevs geometric prior distribution h on the change point t,
h (t = i) =

for i = 0
(1 )(1 )
i1
for i 1.
(2.6)
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Bayesian Detection of Changes of a Poission Process 71
Thus, we obtain that the posterior probability that there has been a change by time
n is
t
n
=
L
0
+(1 )

n1
r=0
(1 )
r
L
r
L
0
+(1 )

n1
r=0
(1 )
r
L
r
+(1 )(1 )
n
L
n
. (2.7)
Let

t
n
= 1 t
n
be the probability that there has not been a change by time n.
3. OPTIMAL STOPPING RULE
In this section, we nd an optimal stopping rule. Suppose the cost of stopping early
is c
1
loss units and the cost per time unit of stopping late is c
2
loss units. We want
to nd a stopping rule that will minimize the expected cost. We assume without loss
of generality that c
1
= 1 and c
2
= c is the relative cost of stopping late. Let R
n
be
the risk (or minimal expected loss) at time n. Therefore,
R
n
(
n
) = min(

t
n
. ct
n
+E(R
n+1

n
)). (3.1)
The stopping rule, then, would be to stop sampling when the risk of stopping
is smaller than the risk of continuing. According to (3.1), this rule is equivalent to
saying we stop sampling at the rst n such that

t
n
- ct
n
+E(R
n+1

n
). (3.2)
In order to calculate R
n
, we use the principle of dynamic programming. Suppose
we must stop after n

observations if we havent stopped before. Let R

(;)
n
be the
risk at time n when at most ; more observations are allowed. When ; = 0. n

= n.
Therefore at time n we must stop and our risk is
R
(0)
n
(
n
) =

t
n
. (3.3)
In general, for ; 1, we have a choice: we can stop and say that a change
has occurred, or we can continue and take another observation. If we decide to
continue, our risk is

R
(;)
n
= ct
n
+E

R
(;1)
n+1

n

. Therefore, our risk at time n is

R
(;)
n
= min(

t
n
.

R
(;)
n
). We can further write this as
R
(;)
n
=

t
n
+

R
(;)
n


t
n

=

t
n
+

c

t
n
(c +1) +E

R
(;1)
n+1

n+1

.
(3.4)
Theorem 3.1. The sequence ](

t
n
.
n
). n 1] is a super martingale.
Proof. Taking the conditional expectation of t
n+1
given the o-eld generated by
the rst n observations, we obtain
E(t
n+1

n+1
) = E(E(I (t - n +1)
n+1
)
n
)
= E(E(I (t - n)
n+1
)
n
) +E(E(I (t = 1)
n+1
)
n
)
=

t
n
+

t
n
. (3.5)
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Therefore,
E

t
n+1

n+1

= (1 )

t
n
-

t
n
a.s. (3.6)
Accordingly, the sequence ]

t
n
. n 0] is a super martingale.
Corollary 3.1.
lim
n

t
n
= 0 a.s (3.7)
Proof. From equation (3.6),
E

t
n+1

n+1

= (1 )

t
n
= (1 )
n
(1 ). (3.8)
Thus, the lim sup
n
E(

t
n
) = 0. Since

t
n
0 with probability 1 for all n, we
obtain (3.7).
Thus, the one-step look-ahead procedure states that we stop sampling and
declare that a change has happened at the rst n such that

t
n
- q

=
c
c +
. (3.9)
Dene M
(;)
n
= E

R
(;1)
n+1


t
n+1

for ; 1, and M
(0)
n
0. Thus, the functions M
(;)
n
satisfy the recursive relationship
M
(;)
n
= E

c

t
n+1
(c +) +M
(;1)
n+1

. (3.10)
Hence, the risk can be written as a function of M
(;)
n
, namely,
R
(;)
n
=

t
n
+|c

t
n
(c +) +M
(;1)
n
]

. (3.11)
We then make the decision to stop when c

t
n
(c +) +M
(;1)
n
> 0, which is
equivalent to stopping when

t
n
- q

+
M
(;1)
n
c+
. We can dene the ;th-step-ahead
boundary to be l
(;)
n
= max

0. q

+
M
(;1)
n
c+

.
Lemma 3.1. lim
;
l
(;)
n
= l

n
exists. That is, there exists an optimal stopping
boundary.
Proof. By induction one can show that M
(;)
n
are decreasing in ;. Thus, l
(;)
n
are
decreasing functions of ;. Also, l
(;)
n
> 0 for all ;. By the monotone convergence
theorem, the limit exists.
Lemma 3.2. lim
n
l
(;)
n
= q

.
Proof. Let
I =

i c

t
n+1
(X
n
. i)(c +) > 0

. (3.12)
Therefore, if i I. then

t
n+1
- q

. Since by Corollary 2.1,

t
n
0,
lim
n
P
i

t
n+1
(X
n
. i) - q

] = 1. (3.13)
Therefore, lim
n
M
(1)
n
= 0. Thus, lim
n
l
(2)
n
= q

. By induction, we can show this

for all ;.
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Bayesian Detection of Changes of a Poission Process 73
4. EXPLICIT FORMULATION OF THE TWO-STEP-AHEAD BOUNDARY
In this section, we evaluate the two-step-ahead boundary. Substituting ; = 2 into
equation (3.10), we obtain
R
(2)
n
=

t
n
+

c

t
n
(c +) +M
(1)
n

. (4.1)
To evaluate the two-step-ahead risk, we nd an expression for M
(1)
n
. First, we express

t
n+1
recursively as a function of

t
n
:

t
n+1

t
n
(1 )

V
n
D
n
(
n
)
D
n+1
(
n+1
)
. (4.2)
where, according to (2.5),

V
n
=
L
(n+1)
n+1
L
(n)
n
(4.3)
and L
(n)
r
is dened as L
r
when the likelihood is being calculated with respect to
n
,
the o-eld generated by the rst n observations. According to (3.10),
M
(1)
n
= E

c

t
n+1
(c +)

. (4.4)
We only need to take the expectation over those X
n+1
for which

t
n+1
> q

.
Lemma 4.1. If X
n+1
M, then

t
n+1
-

t
n
.
Proof. Let X
n+1
= m M. Let W
r
=
L
(n+1)
r
L
(n)
r
. For r = 0,
W
0
=
(T
n
+m+1)!n
T
n
+2
P(T
n
+m+1; M(n +1))
(T
n
+1)!(n +1)
T
n
+m+2
P(T
n
+1; Mn)
. (4.5)
If we divide equation (4.5) by

V
n
given in (4.3), we obtain,
W
0

V
n
=
E
G
, where E and
G are dened as
E = P(T
n
+m+1; M(n +1))

Mn
T
n
+1
P(T
n
; Mn) P(T
n
+1; Mn)

G = P(T
n
+1; Mn)

M(n +1)
T
n
+m+1
P(T
n
+m; M(n +1)) (4.6)
P(T
n
+m+1; M(n +1))

We show that W
0
>

V
n
. This is equivalent to showing that the rst term in E is
greater than the rst term in G. (See Lemma A.1 Appendix for details). Therefore,
W
0

V
n
> 1. Now, let 0 - r - n:
W
r
=

;
r
;
(T
n
+;+m+1)!P(T
n
+m+;+1;M(n+1))
(T
r
+;+1)!(n+1)
T
n
+;+m+1

;
r
;
(T
n
+;+1)!P(T
n
+;+1;Mn)
(T
r
+;+1)!n
T
n
+;+1
. (4.7)
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To show that W
r
>

V
n
, it sufces to show that each term in the numerator times

V
n
is greater than the corresponding term in the denominator of (4.7) for each ;. r,
and n. This is equivalent to showing E
;
> G
;
, where E
;
and G
;
axe given by
E
;
=
MT
n
!(T
n
+; +m+1)!
(n +1)
;+1
P(T
n
+; +m+1; M(n +1))P(T
n
; Mn)

(T
n
+1)!(T
n
+; +m+1)!
n(n +1)
;+1
P(T
n
+; +m+1; M(n +1))P(T
n
+1; Mn); (4.8)
G
;
=
(T
n
+; +1)!(T
n
+m)
n
;+1
P(T
n
+; +1; Mn)P(T
n
+m; M(n +1))

(T
n
+; +1)!(T
n
+m+1)!
(n +1)n
;+1
P(T
n
+; +1; Mn)P(T
n
+m+1; M(n +1)). (4.9)
The inequality E
;
> G
;
can be shown by induction on ;, making use of
Lemma A.1 in the appendix. Therefore, W
r
>

V
n
for all r - n. Thus,

t
n+1

t
n
=

V
n
(1 )

L
(n)
0
+(1 )

n1
r=0
(1 )
r
L
(n)
r
+(1 )(1 )
n
L
(n)
n

L
(n+1)
0
+(1 )

n
r=0
(1 )
r
L
(n+1)
r
+(1 )(1 )
n+1
L
(n+1)
n+1
.
(4.10)
From (4.8) and (4.9), we see that L
(n+1)
r
= W
r
L
(n)
r
>

V
n
L
(n)
r
. Therefore,

t
n+1

t
n
-
(1 )

V
n
D
n
(
n
)

V
n
D
n
(
n
) +(1 )(1 )
n

L
(n+1)
n
+L
(n+1)
n+1

- 1. (4.11)
Therefore, if the (n +1)th observation is greater than M, the posterior probability
that a change has not occurred will decrease.
We use Lemma 4.1, to evaluate the two-step-ahead stopping rule. According
to equation (4.1), the two-step-ahead risk function is R
(2)
n
=

t
n
+

c

t
n
(c +) +
M
(1)
n

where M
(1)
n
is dened as M
(1)
n
= E||c

t
n+1
(c +)]

]. We only need to take

the expectation over those X
n+1
for which

t
n+1
> q

. Note that if

t
n
- q

, then

t(X
n
. k) - q

for k M. Thus for

t
n
- q

,
M
(1)
n
=

i-M
D
n+1
(X
n
. i)
D
n
(X
n
)

c (c +)

t
n
(1 )

V
n
(i)D
n
(X
n
)
D
n+1
(X
n
. i)

=

i-M

c
D
n+1
(X
n
. i)
D
n
(X
n
)
(c +)

t
n
(1 )

V
n
(i)

(4.12)
Thus the two-step-ahead boundary is
B
n.2
=

+

i-M

D
n+1
(X
n
. i)
D
n
(X
n
)


t
n
(1 )

V
n

+
(4.13)
Notice B
n.2
= l
(2)
n
when

t
n
- q

. Also when

t
n
> q

, both the one- and two-step

look ahead procedure will tell us to continue sampling. Thus the two-step-ahead
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Bayesian Detection of Changes of a Poission Process 75
Table 1. Simulated values to show detection using the
2-step-ahead boundary
n T
n

t
n
B
n.2
1 0 0.9770 0.7788
2 1 0.9828 0.7907
3 1 0.9877 0.7786
4 4 0.9055 0.8236
5 4 0.9520 0.8100
6 6 0.9186 0.8246
7 6 0.9484 0.8144
8 7 0.9450 0.8164
9 8 0.9420 0.8181
10 9 0.9392 0.8196
11 14 0.8018 0.8552
12 15 0.8231 0.8526
13 17 0.7960 0.8571
14 19 0.7704 0.8571
15 23 0.6370 0.8571
16 24 0.6744 0.8571
17 28 0.5437 0.8571
18 29 0.5859 0.8571
19 30 0.6217 0.8571
20 31 0.6518 0.8571
procedure is equivalent to the procedure which tells us to stop when

t
n
- B
n.2
.
In Table 1, we do an example. We look at simulated values for z
1
= 1, when n 10
and z
2
= 2 when n > 10. We use a prior distribution of = 0.01, = 0.01. We
assume we know that the upper bound on the arrival rate M = 3, and the cost c of
stopping late is c = 0.06. In this example, using formula 3.9, we calculate the one-
step-ahead boundary q

= 0.8571. We show at each n, the total number of arrivals

up to time n, the posterior probability that a change has not taken place

t
n
and
the two-step-ahead boundary B
n.2
. One can observe that the B
n.2
approaches q

for
large n. This illustrates Lemma 3.2.
From looking at Table 1 one observes that we would stop at time 11. Since the
change took place at time 10, this shows that the detection rule is quick. We also
see the convergence between the one- and two-step-ahead stopping rules.
APPENDIX A
Lemma A.1. For all n. k, and m positive integers, and m M > 0,
k +m
n +1
P(k +m; M(n +1))P(k 1; Mn) >
k
n
P(k +m1; M(n +1))P(k; Mn). (A.1)
Proof. Taking differences and utilizing the relationship between the cumulative
distribution function of the Poisson distribution and the gamma distribution,
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76 Brown
we obtain
k +m
n +1
P(k +m; M(n +1))P(k 1; Mn)
k
n
P(k +m1; M(n +1))P(k; Mn)
=
k +m
n +1

1
0
M
k+m+1
(n +1)
k+m+1
(k +m)!
x
k+m
e
M(n+1)x

1
0
M
k
n
k
(k 1)!
x
k1
e
Mnx
Jx Jx

k
n

1
0
M
k+m
(n +1)
k+m
(k +m1)!
x
k+m1
e
M(n+1)x

1
0
M
k+1
n
k+1
k!
x
k
e
Mnx
Jx Jx. (A.2)
Simplifying, we obtain that equation (A.2) is equal to
M
2k+m+1

1
0
(n +1)
k+m
(k +m1)!
x
k+m1
e
M(n+1)x

1
0
n
k
(k 1)!
x
k1
e
Mnx
(x x)Jx Jx. (A.3)
We will divide the integral into where x - x and a second integral where x > x.
Thus, equation (A.3) is equivalent to M
2k+m+1
times

1
0
(n +1)
k+m
(k +m1)!
x
k+m1
e
M(n+1)x

x
0
n
k
(k 1)!
x
k1
e
Mnx
(x x)Jx Jx
+

1
0
(n +1)
k+m
(k +m1)!
x
k+m1
e
M(n+1)x

1
x
n
k
(k 1)!
x
k1
e
Mnx
(x x)Jx Jx. (A.4)
Note that the second integral in (A.4) can be rewritten as

1
0
(n +1)
k+m
(k +m1)!
x
k+m1
e
M(n+1)x

1
x
n
k
(k 1)!
x
k1
e
Mnx
(x x)Jx Jx
=

1
0

x
0
M(n +1)
k+m
(k +m1)!
x
k+m1
e
M(n+1)x
n
k
(k 1)!
x
k1
e
Mnx
(x x)Jx Jx. (A.5)
Thus, equation (A.2) is
k +m
n +1
P(k +m; M(n +1))P(k 1; Mn)
k +m
n
P(k; M(n +1))P(k +m; Mn)
= M
2k+m+1

1
0

x
0
(n +1)
k+m
n
k
k!(k 1)!
x
k1
x
k1
e
Mn(x+x)
(x
m
e
Mx
x
m
e
Mx
)Jx Jx. (A.6)
g(x) = x
m
e
Mx
is an increasing function over (0,1) when m > M. Hence,
(n +1)
k+1
n
k
k!(k 1)!
x
k1
x
k1
e
n(x+x)
(x
m
e
Mx
x
m
e
Mx
) > 0 (A.7)
for all 0 - x - x - 1. Therefore,
k +m
n +1
P(k +m. M(n +1))P(k 1; Mn) >
k
n
P(k +m1; M(n +1))P(k; Mn)
(A.8)
for all n. k. m, and M such that m M.
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Bayesian Detection of Changes of a Poission Process 77
ACKNOWLEDGMENTS
I would like to thank Dr. Shelemyahu Zacks for his helpful advice in preparing this
article. I would also like to thank the Editor, Associate Editor, and referees for their
helpful suggestions.
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