Second order expansions for the moments of minimum point of an unbalanced two-sided normal random walk (Q1300764): Difference between revisions
From MaRDI portal
Created a new Item |
Set profile property. |
||
(One intermediate revision by one other user not shown) | |||
Property / MaRDI profile type | |||
Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank | |||
links / mardi / name | links / mardi / name | ||
Revision as of 03:52, 5 March 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Second order expansions for the moments of minimum point of an unbalanced two-sided normal random walk |
scientific article |
Statements
Second order expansions for the moments of minimum point of an unbalanced two-sided normal random walk (English)
0 references
13 September 2000
0 references
Let \(\{ Z_i\}\) be independent and identically distributed normal variables with variance 1 and mean \(\theta_0 < 0\) for \(i < 0 \) and \(\theta > 0\) for \(i > 0\). The two-sided normal random walk is defined as \[ W_n= \begin{cases} \sum_{i=1}^n Z_i \;& \text{ for} \;n\geq 0, \cr 0 & \text{ for} \;n=0, \cr -\sum_{i=n}^{-1} Z_i \;& \text{ for} \;n\leq 0. \end{cases} \] Denote by \(W_{\nu_0}=\min_{-\infty\leq n\leq \infty}W_n.\) The second order expansion of the first two moments of \(\nu_0\) when the drift parameters \(\theta\) and \(\theta_0\) approach zero at the same order is proved. The results can be used to study the bias and variance of the maximum likelihood estimator for the change point. It is shown that the first moment of \(\nu _0\) is different from its continuous Brownian motion analog although the second moments are the same in the symmetric case.
0 references
Brownian motion
0 references
ladder height and ladder epoch
0 references
strong renewal theorem
0 references