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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)
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)
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)
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.
This note examines the role of accelerated sequential sampling in the case of general linear and AR(p) models. In a general linear model, under independent normal errors, both minimum risk point estimation and xed-accuracy conndence set estimation of the regression parameters are included. Then, the point estimation problem is revisited when the errors are… (More)
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.
Quickest detection is a fascinating area of sequential analysis that spans across various branches of science and engineering. It is a pleasure to welcome Professor Albert Shiryaev's article, which provides a comprehensive overview (both scientific and historic) of this area. In this discussion, we expand on some of the issues raised in the article that we… (More)