Discussion on “Is Average Run Length to False Alarm Always an Informative Criterion?” by Yajun Mei

Abstract

In addition to the ARL_∞, the discussion emphasizes the importance of determining PFA(τ) and CED(τ). An example of such computations is given. When the parameters before and after the change-point are unknown, it is recommended to employ the full Bayesian framework.

Keywords:

• Average run length
• Conditional expected delay
• CUSUM
• Probability of false alarm
• Statistical process control

Subject Classifications:

• 62L10
• 62L15
• 60G40

Notes

Recommended by Alex Tartakovsky