Discussion on “Is Average Run Length to False Alarm Always an Informative Criterion?” by Yajun Mei

DOI10.1080/07474940802445964zbMath1247.60057MaRDI QIDQ5900489

Tze Leung Lai, Hock Peng Chan

Publication date: 4 December 2008

Published in: Sequential Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474940802445964

zbMATH Keywords

hidden Markov models; importance sampling and resampling; Bayesian change-point

Mathematics Subject Classification ID

62F15: Bayesian inference

60G40: Stopping times; optimal stopping problems; gambling theory

62L15: Optimal stopping in statistics

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Cites Work

• Approximations to the expected sample size of certain sequential tests
• Using the generalized likelihood ratio statistic for sequential detection of a change-point
• Efficient importance sampling for Monte Carlo evaluation of exceedance probabilities
• Efficient recursive algorithms for detection of abrupt changes in signals and control systems
• Information bounds and quick detection of parameter changes in stochastic systems
• Importance Sampling for Generalized Likelihood Ratio Procedures in Sequential Analysis