On Hypothesis Testing for Poisson Processes. Singular Cases

Abstract

We consider the problem of hypothesis testing in the situation where the first hypothesis is simple and the second one is local one-sided composite. We describe the choice of the thresholds and the power functions of different tests when the intensity function of the observed inhomogeneous Poisson process has two different types of singularity: cusp and discontinuity. The asymptotic results are illustrated by numerical simulations.