Discussion on 'Quickest Detection Problems: Fifty Years Later' by Albert N. Shiryaev

摘要

Professor Shiryaev gave an excellent overview of the modern theory and applications of quickest detection problem. This discussion contains possible extensions based on Bayesian and nonparametric curve estimation approaches. Asymptotically pointwise optimal solution, detection of changes in mixing proportions, challenges of settings in the presence of auxiliary variables, and the use of wavelets are discussed.