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We give some comments and supplementary results on Professor Frisén's comprehensive survey of sequential surveillance and its applications. Our discussion focuses on evaluation criteria and optimality, multivariate and Markov-dependent observations, financial and public health applications, and a tractable Bayesian model that can accommodate unknown pre-and… (More)
Professor Grenander is well known for pathbreaking research in a number of areas including pattern theory, computer vision, inference in stochastic processes, probabilities on algebraic structures and actuarial mathematics. He has published more than one dozen influential books, of which Statistical Analysis of Stationary Time Series (1957, coauthored with… (More)
Let X 1 X 2 X n be independent and identically distributed with distribution function F. A statistician may choose two X values from the sequence by means of two stopping rules t 1 t 2 , with the goal of maximizing EEX t 1 ∨ X t 2. We describe the optimal stopping rules and the asymptotic behavior of the optimal expected stopping values, V 2 n , as n → →,… (More)
We analyze the article by Han and Tsung (2009) " The Optimal Stopping Time for Detecting Changes in Discrete Time Markov Processes, " and demonstrate that it is seriously flawed.
We provide a brief overview of the state-of-the-art in quickest (sequential) changepoint detection and present some new results on asymptotic and numerical analysis of main competitors such as the CUSUM, Shiryaev–Roberts, and Shiryaev detection procedures in a Bayesian context.