Exact computation of the asymptotic efficiency of maximum likelihood estimators of a discontinuous signal in a Gaussian white noise
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Publication:1906182
DOI10.1214/aos/1176324618zbMath0838.62020OpenAlexW2040266565MaRDI QIDQ1906182
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
Riemann zeta functionBrownian motionasymptotic efficiencyGaussian white noisemaximum likelihood estimatorschange-pointPitman estimatorexact variancediscontinuous signal
Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05)
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