Maximum likelihood estimation of a change-point for exponentially distributed random variables.

DOI10.1016/S0167-7152(00)00185-1zbMath1036.62015OpenAlexW2072803190MaRDI QIDQ5933629

Stergios B. Fotopoulos, Venkata K. Jandhyala

Publication date: 2001

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

Full work available at URL: https://doi.org/10.1016/s0167-7152(00)00185-1

zbMATH Keywords

Laplace transformrandom walksWiener-Hopf factorization

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Sums of independent random variables; random walks (60G50)

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Cites Work

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• The likelihood ratio test for the change point problem for exponentially distributed random variables
• The exponential rate of convergence of the distribution of the maximum of a random walk. Part II
• Capturing the distributional behaviour of the maximum likelihood estimator of a changepoint
• Inference about the change-point in a sequence of random variables
• On Optimum Methods in Quickest Detection Problems
• Estimating the Current Mean of a Normal Distribution which is Subjected to Changes in Time
• Time-ordered classification

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