Asymptotic law in sequential estimation of a change point (Q1210129)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Asymptotic law in sequential estimation of a change point |
scientific article |
Statements
Asymptotic law in sequential estimation of a change point (English)
0 references
16 May 1993
0 references
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.
0 references
Gaussian limits
0 references
change point problem
0 references
known distributions
0 references
first hitting times
0 references
Page-Hinckley detector
0 references
convergence theorems on recursive processes
0 references
