On Optimality Properties of the Shiryaev-Roberts Procedure
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Publication:6207344
arXiv0710.5935MaRDI QIDQ6207344
Moshe Pollak, Alexander G. Tartakovsky
Publication date: 31 October 2007
Abstract: We consider the simple changepoint problem setting, where observations are independent, iid pre-change and iid post-change, with known pre- and post-change distributions. The Shiryaev-Roberts detection procedure is known to be asymptotically minimax in the sense of minimizing maximal expected detection delay subject to a bound on the average run length to false alarm, as the latter goes to infinity. Here we present other optimality properties of the Shiryaev-Roberts procedure.
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