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

DOI10.1214/009053606000000362MaRDI QIDQ2500463zbMATH OpenOpenAlexFDO

Authors Yajun Mei

Publication date 24 August 2006

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

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

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)

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.

Recommendations

• On optimality of the Shiryaev-Roberts procedure for detecting a change in distribution
• A note on optimal detection of a change in distribution
• Asymptotic Optimality of Change-Point Detection Schemes in General Continuous-Time Models
• Suboptimal properties of Page's CUSUM and Shiryaev-Roberts procedures in change-point problems with dependent observations
• On robustness of the Shiryaev-Roberts change-point detection procedure under parameter misspecification in the post-change distribution

Cites work

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

Cited in

(5)

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

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