The location of the maximum and asymmetric two-sided Brownian motion with triangular drift

DOI10.1016/0167-7152(95)00183-2zbMATH Open1059.60504OpenAlexW2007582084MaRDI QIDQ1126151FDOQ1126151

Authors Henrik Stryhn

Publication date 1996

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

Full work available at URL https://doi.org/10.1016/0167-7152(95)00183-2

zbMATH Keywords

BiasMaximum likelihoodArgmaxChange point

Mathematics Subject Classification ID

Inference from stochastic processes (62M99) Gaussian processes (60G15) Brownian motion (60J65)

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Cites work

• scientific article; zbMATH DE number 3984391 (Why is no real title available?)
• scientific article; zbMATH DE number 572272 (Why is no real title available?)
• Approximating the distribution of the maximum likelihood estimate of the change-point in a sequence of independent random variables
• The minimum of an additive process with applications to signal estimation and storage theory

Cited in

(13)

• Changepoint analysis of Klementinum temperature series
• Bayesian-type estimators of change points
• Joint dynamics modeling and parameter identification for space robot applications
• Change-point model selection via AIC
• Structural threshold regression
• Adaptive parametric change point inference under covariance structure changes
• Inference of Breakpoints in High-dimensional Time Series
• Fractals with point impact in functional linear regression
• Information criterion for Gaussian change-point model
• Dynamic Semiparametric Factor Model With Structural Breaks
• Estimating non-simultaneous changes in the mean of vectors
• Dating the break in high-dimensional data
• The asymptotic behaviour of the residual sum of squares in models with multiple break points

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