Estimation in the multipath change point problem for correlated data

DOI10.2307/3315688zbMath0848.62065OpenAlexW2136102207MaRDI QIDQ4883617

Lawrence Joseph, Alain C. Vandal, David B. Wolfson

Publication date: 12 September 1996

Published in: Canadian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/3315688

zbMATH Keywords

EM algorithmsimulationspanel datacorrelated random variablesmaximum-likelihoodchange pointsedimentologymixture of nonstationary autoregressive processes

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric inference (62F99) Applications of statistics (62P99) Geostatistics (86A32) Geological problems (86A60)

Related Items (7)

Covariates in multipath change-point problems: Modelling and consistency of the MLE ⋮ Common breaks in means for panel data under short-range dependence ⋮ An evaluation of some methods used for determination of homogenous structural break point in mean of panel data ⋮ Inference for post-change parameters after sequential CUSUM test under AR(1) model ⋮ Common breaks in means and variances for panel data ⋮ A two-stage estimator for change point in the mean of panel data ⋮ Change-point problems: bibliography and review

Cites Work

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• Estimation of a Parameter When the Number of Unknown Parameters Increases Indefinitely with the Number of Observations
• Note on the Consistency of the Maximum Likelihood Estimate

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