Discussion on “Sequential detection/isolation of abrupt changes” by Igor V. Nikiforov. (English) Zbl 1359.62340
Summary: I. V. Nikiforov [ibid. 35, No. 3, 268–301 (2016; Zbl 1356.62114)] has given a comprehensive overview of the quickest change detection/isolation problem in engineering. Following up on his discussion of asymptotically minimax properties of sequential generalized cumulative sum tests, we describe recent developments in postselection multiple testing and our work in relating them to sequential change detection/isolation in this big data era.
MSC:
62L15 | Optimal stopping in statistics |
60G40 | Stopping times; optimal stopping problems; gambling theory |
62G05 | Nonparametric estimation |
62F15 | Bayesian inference |
62C20 | Minimax procedures in statistical decision theory |
Keywords:
average run length to false detection and isolation; big data; false discovery rate; family-wise error rate; Kullback-Leibler information; post-selection multiple testing; reproducibility crisisCitations:
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