Comments on “A note on optimal detection of a change in distribution,” by Benjamin Yakir
The Annals of Statistics · 2006 · Volume 34 · Issue 3
DOI: 10.1214/009053606000000362
Abstract
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.
Keywords
62L10, 62P30, Bayes rule, minimax rule, quality control, statistical process control
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