The geometric convergence rate of the classical change-point estimate

DOI10.1016/j.spl.2008.07.031zbMath1155.62013OpenAlexW2094875986MaRDI QIDQ1004390

Stergios B. Fotopoulos

Publication date: 4 March 2009

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2008.07.031

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Point estimation (62F10) Stochastic processes (60G99)

Related Items (3)

Change point detection and estimation methods under gamma series of observations ⋮ On Hinkley's estimator: inference about the change point ⋮ Exact asymptotic distribution of change-point MLE for change in the mean of Gaussian se\-quences

Cites Work

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• An iterative approximation procedure for the distribution of the maximum of a random walk
• The problem of the Nile: Conditional solution to a changepoint problem
• Capturing the distributional behaviour of the maximum likelihood estimator of a changepoint
• Inference about the change-point in a sequence of binomial variables
• Maximum likelihood estimation of a change-point for exponentially distributed random variables.

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