On optimality of the Shiryaev-Roberts procedure for detecting a change in distribution
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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.
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Cites work
- scientific article; zbMATH DE number 5629283 (Why is no real title available?)
- scientific article; zbMATH DE number 3178062 (Why is no real title available?)
- scientific article; zbMATH DE number 3190745 (Why is no real title available?)
- 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
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Cited in
(43)- Comments on: ``A note on optimal detection of a change in distribution, by Benjamin Yakir
- Optimal Sequential Tests for Monitoring Changes in the Distribution of Finite Observation Sequences
- A numerical approach to performance analysis of quickest change-point detection procedures
- Surveillance of non-stationary processes
- Asymptotically optimal pointwise and minimax change-point detection for general stochastic models with a composite post-change hypothesis
- 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
- 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
- First passage times for Slepian process with linear and piecewise linear barriers
- Steady-state average run length(s): Methodology, formulas, and numerics
- An optimal control chart for finite matrix sequences at some unknown change point
- 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
- Suboptimal properties of Page's CUSUM and Shiryaev-Roberts procedures in change-point problems with dependent observations
- An accurate method for determining the pre-change run length distribution of the generalized Shiryaev-Roberts detection procedure
- The optimality in non-Bayesian change-point detection for finite observation sequence
- Exact distribution of the generalized Shiryaev-Roberts stopping time under the minimax Brownian motion setup
- On the quasi-stationary distribution of the Shiryaev-Roberts diffusion
- Sequential change-point detection: computation versus statistical performance
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- Detecting changes in real-time data: a user's guide to optimal detection
- Comparative performance analysis of the cumulative sum chart and the Shiryaev-Roberts procedure for detecting changes in autocorrelated data
- State-of-the-art in sequential change-point detection
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- An analytic expression for the distribution of the generalized Shiryaev-Roberts diffusion. The Fourier spectral expansion approach
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- An optimization method for change-point monitoring in finite samples sequence
- Detection of stationary errors in multiple regressions with integrated regressors and cointegration
- Nonparametric Shiryaev-Roberts change-point detection procedures based on modified empirical likelihood
- Monitoring a Bernoulli process subject to gradual changes in the success rates of a sequence of Bernoulli random variables
- A multiple hypothesis testing approach to detection changes in distribution
- On the informativeness of measurements in Shiryaev's Bayesian quickest change detection
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- Asymptotically optimal quickest change detection in multistream data -- Part 1: General stochastic models
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