Asymptotically Optimal Solutions in the Change-Point Problem

DOI10.1137/S0040585X97977112zbMath0942.62093MaRDI QIDQ4954385

Aleksandr A. Borovkov

Publication date: 6 June 2000

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

zbMATH Keywords

change-point problemasymptotically homogeneous rulesasymptotically optimal rules

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Asymptotic properties of parametric tests (62F05) Optimal stopping in statistics (62L15)

Related Items (13)

Change point detection and estimation methods under gamma series of observations ⋮ Retrospective Change Point Detection: From Parametric to Distribution Free Policies ⋮ The key renewal theorem for a transient Markov chain ⋮ Guaranteed maximum likelihood splitting tests of a linear regression model ⋮ Change point problems in the model of logistic regression ⋮ Change-point mle in the rate of exponential sequences with application to Indonesian seismological data ⋮ Exact asymptotic distribution of change-point MLE for change in the mean of Gaussian se\-quences ⋮ On properties of the likelihood function in the problem of estimation of the instants of changes of the success probability in nonhomogeneous Bernoulli trials ⋮ Optimal change-point estimation in time series ⋮ Martingale Type Statistics Applied to Change Points Detection ⋮ Guaranteed Local Maximum Likelihood Detection of a Change Point in Nonparametric Logistic Regression ⋮ Asymptotic Optimality of Change-Point Detection Schemes in General Continuous-Time Models ⋮ Inference for single and multiple change-points in time series

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