Asymptotic law in sequential estimation of a change point (Q1210129)
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scientific article; zbMATH DE number 169653
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| English | Asymptotic law in sequential estimation of a change point |
scientific article; zbMATH DE number 169653 |
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Asymptotic law in sequential estimation of a change point (English)
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16 May 1993
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For the change point problem with known distributions, the first hitting times of a recursively defined stochastic process are suggested as sequential estimators of the change point. The Page-Hinckley detector is a special case. Extending known convergence theorems on recursive processes of the considered kind, the (Gaussian) limits of the suitably rescaled process and of its hitting times are derived.
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Gaussian limits
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change point problem
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known distributions
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first hitting times
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Page-Hinckley detector
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convergence theorems on recursive processes
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0.839871883392334
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0.8393683433532715
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0.829807698726654
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