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.
"Comments on “A note on optimal detection of a change in distribution,” by Benjamin Yakir." Ann. Statist. 34 (3) 1570 - 1576, June 2006. https://doi.org/10.1214/009053606000000362