Optimal detection of a jump in the intensity of a Poisson process or in a density with likelihood ratio statistics

TL;DR

This paper introduces two likelihood ratio-based methods for detecting sudden changes in Poisson process intensity or density, emphasizing optimal detection power, computational efficiency, and finite sample inference.

Contribution

It proposes a penalized scan and a condensed average likelihood ratio that improve detection power and computational speed, with simplified theoretical justification.

Findings

Penalized square root of log likelihood ratios yields optimal power.

Sparse interval sets enable fast, nearly linear time computation.

Simulation shows superior performance over standard methods.

Abstract

We consider the problem of detecting a `bump' in the intensity of a Poisson process or in a density. We analyze two types of likelihood ratio based statistics which allow for exact finite sample inference and asymptotically optimal detection: The maximum of the penalized square root of log likelihood ratios (`penalized scan') evaluated over a certain sparse set of intervals, and a certain average of log likelihood ratios (`condensed average likelihood ratio'). We show that penalizing the {\sl square root} of the log likelihood ratio - rather than the log likelihood ratio itself - leads to a simple penalty term that yields optimal power. The thus derived penalty may prove useful for other problems that involve a Brownian bridge in the limit. The second key tool is an approximating set of intervals that is rich enough to allow for optimal detection but which is also sparse enough to allow justifying the validity of the penalization scheme simply via the union bound. This results in a considerable simplification in the theoretical treatment compared to the usual approach for this type of penalization technique, which requires establishing an exponential inequality for the variation of the test statistic. Another advantage of using the sparse approximating set is that it allows fast computation in nearly linear time. We present a simulation study that illustrates the superior performance of the penalized scan and of the condensed average likelihood ratio compared to the standard scan statistic.