A Limit Theorem for a Maximum-Likelihood Estimate of the Disorder Time

DOI10.1137/1131019zbMath0609.62027OpenAlexW2059667182MaRDI QIDQ3749904

Ts. G. Khakhubia

Publication date: 1987

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/1131019

zbMATH Keywords

asymptotic distributionWiener processlimit theoremchange pointasymptotic probability densitynon- Gaussiannormalized maximum likelihood estimate

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Asymptotic distribution theory in statistics (62E20)

Related Items (6)

On change-points tests based on two-samples \(U\)-statistics for weakly dependent observations ⋮ Estimation of a change in linear models ⋮ A Cramér-von Mises test for a class of mean time dependent CHARN models with application to change-point detection ⋮ On properties of the likelihood function in the problem of estimation of the instants of changes of the success probability in nonhomogeneous Bernoulli trials ⋮ Asymptotic study of the change-point mle in multivariate Gaussian families under contiguous alternatives ⋮ Inference for single and multiple change-points in time series

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