Discussion on "Is average run length to false alarm always an informative criterion?" by Yajun Mei

Abstract

We comment on Mei's critique of the standard minimax formulation with the ARL to false alarm of a sequential detection rule as its operating characteristic, and provide an alternative Bayesian approach for his use of a mixing distribution to handle pre-change parameters. We also consider computational issues in implementing the ARL and better alternatives for evaluating sequential detection rules in complex stochastic systems. Copyright © Taylor & Francis Group, LLC.