On Optimality Properties of the Shiryaev-Roberts Procedure

Details On Optimality Properties of the Shiryaev-Roberts Procedure On Optimality Properties of the Shiryaev-Roberts Procedure

2007-10-31

arxiv.org/abs/0710.5935v1

Statistica Sinica, vol. 19, pp. 1729-1739, 2009

Mathematics

Statistics Theory

12

Scientific paper

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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