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

Abstract

Dr. Mei points out an important issue of whether a conventional average run length to false alarm is a proper measure of the false alarm rate in change-point detection problems. In this discussion, we address this issue in detail and show that for non-i.i.d. observations this is indeed a big question.

Keywords:

• Asymptotic optimality
• Average detection delay
• Average run length to false alarm
• Change-point detection
• False alarm rate

Subject Classifications:

• 62L15
• 60G40
• 62F12
• 62F15

ACKNOWLEDGMENTS

The research was supported in part by the U.S. Office of Naval Research grant N00014-06-1-0110 and by the U.S. Army Research Office MURI grant W911NF-06-1-0094 at the University of Southern California.

Notes

Recommended by Nitis Mukhopadhyay