Discussion on "Is average run length to false alarm always an informative criterion?" by Yajun Mei

Sequential Analysis

Volumn 27, Issue 4, 2008, Pages 396-405

  Tartakovsky, Alexander G ^a  

^a UNIVERSITY OF SOUTHERN CALIFORNIA   (United States)

Author keywords

Asymptotic optimality; Average detection delay; Average run length to false alarm; Change point detection; False alarm rate

Indexed keywords

ASYMPTOTIC OPTIMALITY; CHANGE POINT DETECTION; DETECTION DELAYS; FALSE ALARM RATE; FALSE ALARMS;

ERRORS;

ALARM SYSTEMS;

EID: 55349133826     PISSN: 07474946     EISSN: 15324176     Source Type: Journal    
DOI: 10.1080/07474940802446046     Document Type: Note

References (15)

1. Baron, M. and Tartakovsky, A. G. (2006). Asymptotic Bayesian Change-Point Detection Theory for General Continuous-Time Models, Sequential Analysis 25: 257-296.
2. Fuh, C. D. (2003). SPRT and CUSUM in Hidden Markov Models, Annals of Statistics 31: 942-977.
3. Fuh, C. D. (2004). Asymptotic Operating Characteristics of an Optimal Change Point Detection in Hidden Markov Models, Annals of Statistics 32: 2305-2339.
4. Lai, T. L. (1998). Information Bounds and Quick Detection of Parameter Changes in Stochastic Systems, IEEE Transactions on Information Theory 44: 2917-2929.
5. Moustakides, G. (2004). Optimality of the Cusum Procedure in Continuous Time, Annals of Statistics 32: 302-315.
6. Pollak, M. and Tartakovsky, A. G. (2008a). Asymptotic Exponentiality of the Distribution of First Exit Times for a Class of Markov Processes with Applications to Quickest Change Detection, Theory of Probability and Its Applications 52, in press.
7. Pollak, M. and Tartakovsky, A. G. (2008b). Optimality Properties of the Shiryaev-Roberts Procedure, Statistica Sinica, in press.
8. Siegmund, D. (1985). Sequential Analysis: Tests and Confidence Intervals, New York: Springer-Verlag.
9. Shiryaev, A. N. (1963). On Optimum Methods in Quickest Detection Problems, Theory of Probability and Its Applications 8: 22-46.
10. Tartakovsky, A. G. (1998). Extended Asymptotic Optimality of Certain Change-Point Detection Procedures, Technical report/preprint, Center for Applied Mathematical Sciences, University of Southern California, Los Angeles.
11. Tartakovsky, A. G. (2005). Asymptotic Performance of a Multichart CUSUM Test Under False Alarm Probability Constraint, Proceedings of 44th IEEE Conference on Decision and Control and European Control Conference (CDC-ECC'05), December 12-15, 2005, pp. 320-325, Seville, Spain, Omnipress CD-ROM, ISBN 0-7803-9568-9.
12. Tartakovsky, A. G. and Veeravalli, V. V. (2004). Change-Point Detection in Multichannel and Distributed Systems with Applications, in Applications of Sequential Methodologies, N. Mukhopadhyay, S., Datta, and Chattopadhyay, S., eds., pp. 339-370, New York: Marcel Dekker.
13. Tartakovsky, A. G. and Veeravalli, V. V. (2005). General Asymptotic Bayesian Theory of Quickest Change Detection, Theory of Probability and Its Applications 49: 458-497.
14. Tartakovsky, A. G., Pollak, M., and Polunchenko, A. (2008). Asymptotic Exponentiality of First Exit Times for Recurrent Markov Processes and Applications to Change-Point Detection, International Workhop on Applied Probability, July 7-10, 2008, Compiègne, France.
15. Woodroofe, M. (1982). Nonlinear Renewal Theory in Sequential Analysis, Philadelphia: SIAM.