Exact computation of the asymptotic efficiency of maximum likelihood estimators of a discontinuous signal in a Gaussian white noise

DOI10.1214/aos/1176324618zbMath0838.62020OpenAlexW2040266565MaRDI QIDQ1906182

Kai-Sheng Song, Herman Rubin

Publication date: 8 February 1996

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

Full work available at URL: https://doi.org/10.1214/aos/1176324618

zbMATH Keywords

Riemann zeta functionBrownian motionasymptotic efficiencyGaussian white noisemaximum likelihood estimatorschange-pointPitman estimatorexact variancediscontinuous signal

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05)

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