Third-order Asymptotic Optimality of the Generalized Shiryaev--Roberts Changepoint Detection Procedures
Third-order Asymptotic Optimality of the Generalized Shiryaev--Roberts Changepoint Detection Procedures
Several variations of the Shiryaev--Roberts detection procedure in the context of the simple changepoint problem are considered: starting the procedure at $R_0=0$ (the original Shiryaev--Roberts procedure), at $R_0=r$ for fixed $r>0$, and at $R_0$ that has the quasi-stationary distribution. Comparisons of operating characteristics are made. The differences fade as the …