Discussion on “Is Average Run Length to False Alarm Always an Informative Criterion?” by Yajun Mei

DOI10.1080/07474940802446046zbMath1247.60060OpenAlexW2051807948MaRDI QIDQ5900492

Alexander G. Tartakovsky

Publication date: 4 December 2008

Published in: Sequential Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474940802446046

zbMATH Keywords

asymptotic optimalityfalse alarm ratechange-point detectionaverage run length to false alarmaverage detection delay

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Bayesian inference (62F15) Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stopping in statistics (62L15)

Related Items (10)

Detecting changes in real-time data: a user’s guide to optimal detection ⋮ State-of-the-art in sequential change-point detection ⋮ Detecting an intermittent change of unknown duration ⋮ Practical aspects of false alarm control for change point detection: beyond average run length ⋮ Asymptotically optimal pointwise and minimax quickest change-point detection for dependent data ⋮ Sequential Detection of Transient Changes ⋮ An Accurate Method for Determining the Pre-Change Run Length Distribution of the Generalized Shiryaev-Roberts Detection Procedure ⋮ From Disorder Detection to Optimal Stopping and Mathematical Finance ⋮ Sequential Change-Point Detection When the Pre- and Post-Change Parameters are Unknown ⋮ Asymptotically optimal pointwise and minimax change-point detection for general stochastic models with a composite post-change hypothesis

Cites Work

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• Sequential analysis. Tests and confidence intervals
• SPRT and CUSUM in hidden Markov models
• Asymptotic operating characteristics of an optimal change point detection in hidden Markov models
• Optimality of the CUSUM procedure in continuous time.
• Information bounds and quick detection of parameter changes in stochastic systems
• On Optimum Methods in Quickest Detection Problems
• General Asymptotic Bayesian Theory of Quickest Change Detection

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