Comments on "A note on optimal detection of a change in distribution," by Benjamin Yakir

Details Comments on "A note on optimal detection of a change in distribution," by Benjamin Yakir Comments on "A note on optimal detection of a change in distribution," by Benjamin Yakir

2006-08-02

arxiv.org/abs/math/0608046v1

Annals of Statistics 2006, Vol. 34, No. 3, 1570-1576

Mathematics

Statistics Theory

Published at http://dx.doi.org/10.1214/009053606000000362 in the Annals of Statistics (http://www.imstat.org/aos/) by the Inst

Scientific paper

10.1214/009053606000000362

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.

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