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Lai, Tze Leung; Tsang, Ka Wai

Discussion on “Sequential detection/isolation of abrupt changes” by Igor V. Nikiforov. (English) Zbl 1359.62340

Sequential Anal. 35, No. 3, 305-310 (2016).
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.

Cited in 1 Review

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 crisis

Citations:

Zbl 1356.62114
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