Asymptotic study of the change-point mle in multivariate Gaussian families under contiguous alternatives

DOI10.1016/j.jspi.2008.07.010zbMath1156.62010OpenAlexW2045688675MaRDI QIDQ1007505

Stergios B. Fotopoulos, Li Tan, Venkata K. Jandhyala

Publication date: 20 March 2009

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2008.07.010

zbMATH Keywords

Brownian motionrandom walkmaximum likelihood estimatechange-point modellog returns

Mathematics Subject Classification ID

Related Items (4)

On change-points tests based on two-samples \(U\)-statistics for weakly dependent observations ⋮ A Cramér-von Mises test for a class of mean time dependent CHARN models with application to change-point detection ⋮ Bent-cable regression with autoregressive noise ⋮ Inference for single and multiple change-points in time series

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