On Two Estimation Problems for Times of Change of the Probabilistic Characteristics of a Random Sequence

DOI10.1137/1129062zbMath0611.62112OpenAlexW2069582502MaRDI QIDQ3750862

Boris S. Darkhovsky

Publication date: 1985

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/1129062

zbMATH Keywords

random sequenceschange point problemasymptotically unbiased estimatorsfinite state spaceweak mixing conditionslower bound for the mean square error

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric estimation (62G05)

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