Asymptotic study of the change-point mle in multivariate Gaussian families under contiguous alternatives (Q1007505)
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scientific article; zbMATH DE number 5530779
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Asymptotic study of the change-point mle in multivariate Gaussian families under contiguous alternatives |
scientific article; zbMATH DE number 5530779 |
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Asymptotic study of the change-point mle in multivariate Gaussian families under contiguous alternatives (English)
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20 March 2009
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change-point model
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maximum likelihood estimate
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random walk
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Brownian motion
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log returns
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0.9139743
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0.9009402
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0.8994131
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0.88966036
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0.8758725
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0.87501323
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