The location of the maximum and asymmetric two-sided Brownian motion with triangular drift

DOI10.1016/0167-7152(95)00183-2zbMath1059.60504OpenAlexW2007582084MaRDI QIDQ1126151

Henrik Stryhn

Publication date: 1996

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

Full work available at URL: https://doi.org/10.1016/0167-7152(95)00183-2

zbMATH Keywords

Maximum likelihoodChange pointBiasArgmax

Mathematics Subject Classification ID

Gaussian processes (60G15) Brownian motion (60J65) Inference from stochastic processes (62M99)

Related Items (9)

Estimating non-simultaneous changes in the mean of vectors ⋮ Inference of Breakpoints in High-dimensional Time Series ⋮ Change-point model selection via AIC ⋮ Joint dynamics modeling and parameter identification for space robot applications ⋮ Bayesian-type estimators of change points ⋮ Information criterion for Gaussian change-point model ⋮ Fractals with point impact in functional linear regression ⋮ STRUCTURAL THRESHOLD REGRESSION ⋮ The asymptotic behaviour of the residual sum of squares in models with multiple break points

Cites Work

• Approximating the distribution of the maximum likelihood estimate of the change-point in a sequence of independent random variables
• The minimum of an additive process with applications to signal estimation and storage theory
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