Exact optimality of the Shiryaev-Roberts procedure for detecting changes in distributions

• Published in: 2008 International Symposium on Information Theory and its Applications pp. 1 - 6
• Main Authors: Pollak, M., Tartakovsky, A.G.
• Format: Conference Proceeding
• Language: English
• Published: IEEE 01.12.2008
• Subjects: Delay effects; Filtration; H infinity control; Information theory; Mathematics; Minimax techniques; Motion detection; Statistical distributions; Statistics; Stochastic processes
• ISBN: 9781424420681; 1424420687
• DOI: 10.1109/ISITA.2008.4895424

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 detect...