The Annals of Statistics
- Ann. Statist.
- Volume 34, Number 3 (2006), 1570-1576.
Comments on “A note on optimal detection of a change in distribution,” by Benjamin Yakir
The purpose of this note is to show that in a widely cited paper by Yakir [Ann. Statist. 25 (1997) 2117–2126], the proof that the so-called modified Shiryayev–Roberts procedure is exactly optimal is incorrect. We also clarify the issues involved by both mathematical arguments and a simulation study. The correctness of the theorem remains in doubt.
Ann. Statist., Volume 34, Number 3 (2006), 1570-1576.
First available in Project Euclid: 10 July 2006
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Mei, Yajun. Comments on “A note on optimal detection of a change in distribution,” by Benjamin Yakir. Ann. Statist. 34 (2006), no. 3, 1570--1576. doi:10.1214/009053606000000362. https://projecteuclid.org/euclid.aos/1152540759