Asymptotic near-minimaxity of the randomized Shiryaev-Roberts-Pollak change-point detection procedure in continuous time

DOI10.1137/S0040585X97T988848MaRDI QIDQ4580434zbMATH OpenOpenAlexWikidataFDO

Authors Aleksey S. Polunchenko

Publication date 15 August 2018

Published in Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1607.03294

zbMATH Keywords

minimax optimalityoptimal stoppingquasi-stationary distributionShiryaev-Roberts procedureequential change-point detection

Mathematics Subject Classification ID

Sequential statistical analysis (62L10) Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stopping in statistics (62L15)

Abstract: For the classical continuous-time quickest change-point detection problem it is shown that the randomized Shiryaev-Roberts-Pollak procedure is asymptotically nearly minimax-optimal (in the sense of Pollak 1985) in the class of randomized procedures with vanishingly small false alarm risk. The proof is explicit in that all of the relevant performance characteristics are found analytically and in a closed form. The rate of convergence to the (unknown) optimum is elucidated as well. The obtained optimality result is a one-order improvement of that previously obtained by Burnaev et al. (2009) for the very same problem.

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Cited in

(10)

• On optimality of the Shiryaev-Roberts procedure for detecting a change in distribution
• On the evaluation of an integral involving the Whittaker \(W\) function
• A numerical approach to performance analysis of quickest change-point detection procedures
• Analytic evaluation of the fractional moments for the quasi-stationary distribution of the Shiryaev martingale on an interval
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• Third-order Asymptotic Optimality of the Generalized Shiryaev--Roberts Changepoint Detection Procedures
• A note on the quasi-stationary distribution of the Shiryaev martingale on the positive half-line
• On the convergence rate of the quasi- to stationary distribution for the Shiryaev-Roberts diffusion
• Minimax optimality of the Shiryayev-Roberts change-point detection rule
• Asymptotic Optimality of Change-Point Detection Schemes in General Continuous-Time Models

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