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

Abstract

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.

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Yajun Mei. "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

Information

Published: June 2006
First available in Project Euclid: 10 July 2006

zbMATH: 1113.62092
MathSciNet: MR2278368
Digital Object Identifier: 10.1214/009053606000000362

Subjects:
Primary: 62L10
Secondary: 62P30

Rights: Copyright © 2006 Institute of Mathematical Statistics

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Vol.34 • No. 3 • June 2006
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