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.
Publié le : 2006-06-14
Classification:
Bayes rule,
minimax rule,
quality control,
statistical process control,
62L10,
62P30
@article{1152540759,
author = {Mei, Yajun},
title = {Comments on ``A note on optimal detection of a change in distribution,'' by Benjamin Yakir},
journal = {Ann. Statist.},
volume = {34},
number = {1},
year = {2006},
pages = { 1570-1576},
language = {en},
url = {http://dml.mathdoc.fr/item/1152540759}
}
Mei, Yajun. Comments on “A note on optimal detection of a change in distribution,” by Benjamin Yakir. Ann. Statist., Tome 34 (2006) no. 1, pp. 1570-1576. http://gdmltest.u-ga.fr/item/1152540759/