Comments on: ``A note on optimal detection of a change in distribution, by Benjamin Yakir

DOI10.1214/009053606000000362zbMATH Open1113.62092arXivmath/0608046OpenAlexW2035857292MaRDI QIDQ2500463FDOQ2500463

Authors: Yajun Mei 

Publication date: 24 August 2006

Published in: The Annals of Statistics (Search for Journal in Brave)

Abstract: The purpose of this note is to show that in a widely cited paper by Yakir [Ann. Statist. 25 (1997) 2117--2126, doi:10.1214/aos/1069362390], the proof that the so-called modified Shiryayev--Roberts procedure is exactly optimal is incorrect. We also clarify the issues involved by both mathematical arguments and a simulation study. The correctness of the theorem remains in doubt.

Full work available at URL: https://arxiv.org/abs/math/0608046

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zbMATH Keywords

Bayes rulestatistical process controlquality controlminimax rule

Mathematics Subject Classification ID

Applications of statistics in engineering and industry; control charts (62P30) Sequential statistical analysis (62L10)

Cites Work

• Optimal stopping times for detecting changes in distributions
• Procedures for Reacting to a Change in Distribution
• CONTINUOUS INSPECTION SCHEMES
• Decision theoretic optimality of the cusum procedure
• Optimal detection of a change in distribution
• On Optimum Methods in Quickest Detection Problems
• A note on optimal detection of a change in distribution

Cited In (5)

• On optimality of the Shiryaev-Roberts procedure for detecting a change in distribution
• Sequential change detection revisited
• Detection of stationary errors in multiple regressions with integrated regressors and cointegration
• On robustness of the Shiryaev-Roberts change-point detection procedure under parameter misspecification in the post-change distribution
• Asymptotic near-minimaxity of the randomized Shiryaev-Roberts-Pollak change-point detection procedure in continuous time

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