On optimality of the Shiryaev-Roberts procedure for detecting a change in distribution
From MaRDI portal
(Redirected from Publication:620556)
Abstract: In 1985, for detecting a change in distribution, Pollak introduced a specific minimax performance metric and a randomized version of the Shiryaev-Roberts procedure where the zero initial condition is replaced by a random variable sampled from the quasi-stationary distribution of the Shiryaev-Roberts statistic. Pollak proved that this procedure is third-order asymptotically optimal as the mean time to false alarm becomes large. The question of whether Pollak's procedure is strictly minimax for any false alarm rate has been open for more than two decades, and there were several attempts to prove this strict optimality. In this paper, we provide a counterexample which shows that Pollak's procedure is not optimal and that there is a strictly optimal procedure which is nothing but the Shiryaev-Roberts procedure that starts with a specially designed deterministic point.
Recommendations
- A note on optimal detection of a change in distribution
- Minimax optimality of Shiryaev-Roberts procedure for quickest drift change detection of a Brownian motion
- Asymptotic near-minimaxity of the randomized Shiryaev-Roberts-Pollak change-point detection procedure in continuous time
- Comments on: ``A note on optimal detection of a change in distribution, by Benjamin Yakir
- Numerical Comparison of CUSUM and Shiryaev–Roberts Procedures for Detecting Changes in Distributions
Cites work
- A note on optimal detection of a change in distribution
- A numerical approach to performance analysis of quickest change-point detection procedures
- Average run lengths of an optimal method of detecting a change in distribution
- Comments on: ``A note on optimal detection of a change in distribution, by Benjamin Yakir
- scientific article; zbMATH DE number 3178062 (Why is no real title available?)
- scientific article; zbMATH DE number 3190745 (Why is no real title available?)
- Numerical Comparison of CUSUM and Shiryaev–Roberts Procedures for Detecting Changes in Distributions
- On Optimum Methods in Quickest Detection Problems
- Optimal detection of a change in distribution
- Optimality properties of the Shiryaev-Roberts procedure
- Quickest detection of drift change for Brownian motion in generalized Bayesian and minimax settings
Cited in
(46)- A note on optimal detection of a change in distribution
- Exploring the longevity risk using statistical tools derived from the Shiryaev-Roberts procedure
- Asymptotically optimal pointwise and minimax quickest change-point detection for dependent data
- State-of-the-art in sequential change-point detection
- Asymptotically optimal pointwise and minimax change-point detection for general stochastic models with a composite post-change hypothesis
- Monitoring for a change point in a sequence of distributions
- Asymptotically optimal quickest change detection in multistream data -- Part 1: General stochastic models
- First passage times for Slepian process with linear and piecewise linear barriers
- On the informativeness of measurements in Shiryaev's Bayesian quickest change detection
- A multiple hypothesis testing approach to detection changes in distribution
- Surveillance of non-stationary processes
- An analytic expression for the distribution of the generalized Shiryaev-Roberts diffusion. The Fourier spectral expansion approach
- Comments on: ``A note on optimal detection of a change in distribution, by Benjamin Yakir
- Exact distribution of the generalized Shiryaev-Roberts stopping time under the minimax Brownian motion setup
- Detection of stationary errors in multiple regressions with integrated regressors and cointegration
- On the quasi-stationary distribution of the Shiryaev-Roberts diffusion
- A numerical approach to performance analysis of quickest change-point detection procedures
- Suboptimal properties of Page's CUSUM and Shiryaev-Roberts procedures in change-point problems with dependent observations
- From Disorder Detection to Optimal Stopping and Mathematical Finance
- Optimality properties of the Shiryaev-Roberts procedure
- Numerical Comparison of CUSUM and Shiryaev–Roberts Procedures for Detecting Changes in Distributions
- Decoupling change-point detection based on characteristic functions: methodology, asymptotics, subsampling and application
- Detecting changes in real-time data: a user's guide to optimal detection
- Asymptotic near-minimaxity of the randomized Shiryaev-Roberts-Pollak change-point detection procedure in continuous time
- Comparative performance analysis of the cumulative sum chart and the Shiryaev-Roberts procedure for detecting changes in autocorrelated data
- Discussion on ``Change-points: from sequential detection to biology and back by David Siegmund
- Third-order Asymptotic Optimality of the Generalized Shiryaev--Roberts Changepoint Detection Procedures
- On the convergence rate of the quasi- to stationary distribution for the Shiryaev-Roberts diffusion
- Self-normalized sequential change-point detection
- Steady-state average run length(s): Methodology, formulas, and numerics
- Monitoring a Bernoulli process subject to gradual changes in the success rates of a sequence of Bernoulli random variables
- Optimal Sequential Tests for Monitoring Changes in the Distribution of Finite Observation Sequences
- On robustness of the Shiryaev-Roberts change-point detection procedure under parameter misspecification in the post-change distribution
- An accurate method for determining the pre-change run length distribution of the generalized Shiryaev-Roberts detection procedure
- An optimal control chart for finite matrix sequences at some unknown change point
- Optimal sequential tests for detection of changes under finite measure space for finite sequences of networks
- An optimization method for change-point monitoring in finite samples sequence
- Detecting an intermittent change of unknown duration
- Efficient performance evaluation of the generalized Shiryaev-Roberts detection procedure in a multi-cyclic setup
- The optimal CUSUM control chart with a dynamic non-random control limit and a given sampling strategy for small samples sequence
- The optimality in non-Bayesian change-point detection for finite observation sequence
- Sequential change-point detection: computation versus statistical performance
- Beyond boundaries: Gary Lorden’s groundbreaking contributions to sequential analysis
- Nonparametric Shiryaev-Roberts change-point detection procedures based on modified empirical likelihood
- Online jump and kink detection in segmented linear regression: statistical optimality meets computational efficiency
- Robustness of the \(N\)-CUSUM stopping rule in a Wiener disorder problem
This page was built for publication: On optimality of the Shiryaev-Roberts procedure for detecting a change in distribution
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q620556)
