Maximum likelihood estimation of a change-point for exponentially distributed random variables.

DOI10.1016/S0167-7152(00)00185-1MaRDI QIDQ5933629zbMATH OpenOpenAlexFDO

Authors Stergios Fotopoulos, Venkata Jandhyala

Publication date 2001

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0167-7152(00)00185-1

zbMATH Keywords

Laplace transformrandom walksWiener-Hopf factorization

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Asymptotic properties of parametric estimators (62F12)

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Cites work

• Capturing the distributional behaviour of the maximum likelihood estimator of a changepoint
• Estimating the Current Mean of a Normal Distribution which is Subjected to Changes in Time
• scientific article; zbMATH DE number 192907 (Why is no real title available?)
• scientific article; zbMATH DE number 1048663 (Why is no real title available?)
• Inference about the change-point in a sequence of random variables
• On Optimum Methods in Quickest Detection Problems
• The exponential rate of convergence of the distribution of the maximum of a random walk. Part II
• The likelihood ratio test for the change point problem for exponentially distributed random variables
• Time-ordered classification

Cited in

(17)

• The geometric convergence rate of the classical change-point estimate
• Asymptotic study of the change-point mle in multivariate Gaussian families under contiguous alternatives
• Maximum likelihood estimation of a change-point in the distribution of independent random variables: general multiparameter case
• The likelihood ratio test for the change point problem for exponentially distributed random variables
• Estimating non-simultaneous changes in the mean of vectors
• Change point detection and estimation methods under gamma series of observations
• A computational method for the detection of activation/deactivation patterns in biological signals with three levels of electric intensity
• On Hinkley's estimator: inference about the change point
• Inference for single and multiple change-points in time series
• Estimating the Number of Change Points in Exponential Families Distributions
• Parameter Estimation of Some NHPP Software Reliability Models with Change-Point
• Exact distribution of change-point MLE for a multivariate normal sequence
• Asymptotic distribution of the jump change-point estimator
• Change-point mle in the rate of exponential sequences with application to Indonesian seismological data
• Multiple changepoint detection for non-Gaussian time series
• Activity pattern detection in electroneurographic and electromyogram signals through a heteroscedastic change-point method
• Exact asymptotic distribution of change-point MLE for change in the mean of Gaussian se\-quences

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