Comments on "A note on optimal detection of a change in distribution," by Benjamin Yakir
Abstract
Description
The purpose of this note is to show that in a widely cited paper by Yakir [Ann. Statist. 25 (1997) 2117--2126, doi:10.1214/aos/1069362390], 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.
Published at http://dx.doi.org/10.1214/009053606000000362 in the Annals of Statistics (http://www.imstat.org/aos/) by the Institute of Mathematical Statistics (http://www.imstat.org)
Published at http://dx.doi.org/10.1214/009053606000000362 in the Annals of Statistics (http://www.imstat.org/aos/) by the Institute of Mathematical Statistics (http://www.imstat.org)