On robustness of the Shiryaev-Roberts change-point detection procedure under parameter misspecification in the post-change distribution
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Publication:5267910
DOI10.1080/03610918.2015.1039131zbMATH Open1364.62214arXiv1504.04722OpenAlexW2185884875MaRDI QIDQ5267910FDOQ5267910
Authors: Wenyu du, Aleksey S. Polunchenko, Grigory Sokolov 
Publication date: 13 June 2017
Published in: Communications in Statistics. Simulation and Computation (Search for Journal in Brave)
Abstract: The gist of the quickest change-point detection problem is to detect the presence of a change in the statistical behavior of a series of sequentially made observations, and do so in an optimal detection-speed-vs.-"false-positive"-risk manner. When optimality is understood either in the generalized Bayesian sense or as defined in Shiryaev's multi-cyclic setup, the so-called Shiryaev-Roberts (SR) detection procedure is known to be the "best one can do", provided, however, that the observations' pre- and post-change distributions are both fully specified. We consider a more realistic setup, viz. one where the post-change distribution is assumed known only up to a parameter, so that the latter may be "misspecified". The question of interest is the sensitivity (or robustness) of the otherwise "best" SR procedure with respect to a possible misspecification of the post-change distribution parameter. To answer this question, we provide a case study where, in a specific Gaussian scenario, we allow the SR procedure to be "out of tune" in the way of the post-change distribution parameter, and numerically assess the effect of the "mistuning" on Shiryaev's (multi-cyclic) Stationary Average Detection Delay delivered by the SR procedure. The comprehensive quantitative robustness characterization of the SR procedure obtained in the study can be used to develop the respective theory as well as to provide a rational for practical design of the SR procedure. The overall qualitative conclusion of the study is an expected one: the SR procedure is less (more) robust for less (more) contrast changes and for lower (higher) levels of the false alarm risk.
Full work available at URL: https://arxiv.org/abs/1504.04722
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Cited In (9)
- Third-order Asymptotic Optimality of the Generalized Shiryaev--Roberts Changepoint Detection Procedures
- An accurate method for determining the pre-change run length distribution of the generalized Shiryaev-Roberts detection procedure
- Model misspecification in discrete time Bayesian online change detection
- An exact formula for the average run length to false alarm of the generalized Shiryaev-Roberts procedure for change-point detection under exponential observations
- Comparative performance analysis of the cumulative sum chart and the Shiryaev-Roberts procedure for detecting changes in autocorrelated data
- Robust Wilcoxon‐Type Estimation of Change‐Point Location Under Short‐Range Dependence
- Nonparametric Shiryaev-Roberts change-point detection procedures based on modified empirical likelihood
- Testing randomness online
- Comments on: ``A note on optimal detection of a change in distribution, by Benjamin Yakir
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