On optimality of the Shiryaev-Roberts procedure for detecting a change in distribution
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Publication:620556
DOI10.1214/09-AOS775zbMATH Open1204.62141arXiv0904.3370OpenAlexW2086012759MaRDI QIDQ620556FDOQ620556
Authors: Aleksey S. Polunchenko, Alexander G. Tartakovsky 
Publication date: 19 January 2011
Published in: The Annals of Statistics (Search for Journal in Brave)
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.
Full work available at URL: https://arxiv.org/abs/0904.3370
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Sequential statistical analysis (62L10) Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stopping in statistics (62L15)
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Cited In (42)
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- Exploring the longevity risk using statistical tools derived from the Shiryaev-Roberts procedure
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