Exact asymptotic distribution of change-point MLE for change in the mean of Gaussian se\-quences

DOI10.1214/09-AOAS294zbMath1194.62016arXiv1011.2322OpenAlexW2050553441MaRDI QIDQ993276

Stergios B. Fotopoulos, Venkata K. Jandhyala, Elena A. Khapalova

Publication date: 10 September 2010

Published in: The Annals of Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1011.2322

zbMATH Keywords

likelihood ratiomaximum likelihood estimaterandom walk with negative driftladder epochs

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Non-Markovian processes: estimation (62M09) Bayesian inference (62F15) Exact distribution theory in statistics (62E15)

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