Maximum likelihood estimation of a change-point in the distribution of independent random variables: general multiparameter case

DOI10.1016/0047-259X(87)90152-7zbMath0659.62033OpenAlexW2046343166MaRDI QIDQ1112497

P. K. Bhattacharya

Publication date: 1987

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0047-259x(87)90152-7

zbMATH Keywords

maximum likelihood estimatorchange-pointthree-step proceduretwo-sided Brownian motionmultiparameter exponential familiesFisher-information matrixlocal behavior of the likelihood function

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Estimation in multivariate analysis (62H12) Asymptotic distribution theory in statistics (62E20) Central limit and other weak theorems (60F05)

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Cites Work

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• Maximum likelihood estimation of a change-point in the distribution of independent random variables: general multiparameter case
• On tests for detecting change in mean
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• A Nonparametric Method for the a Posteriori Detection of the “Disorder” Time of a Sequence of Independent Random Variables
• Test Procedures for Possible Changes in Parameters of Statistical Distributions Occurring at Unknown Time Points
• Nonparametric Tests for Shift at an Unknown Time Point
• On Detecting Changes in the Mean of Normal Variates
• Inference about the change-point in a sequence of random variables
• Estimating the Current Mean of a Normal Distribution which is Subjected to Changes in Time

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