Asymptotic law in sequential estimation of a change point

DOI10.1016/0167-7152(93)90072-QMaRDI QIDQ1210129zbMATH OpenOpenAlexFDO

Authors O. de Cambry

Publication date 16 May 1993

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

Full work available at URL https://doi.org/10.1016/0167-7152(93)90072-q

zbMATH Keywords

change point problemconvergence theorems on recursive processesfirst hitting timesGaussian limitsknown distributionsPage-Hinckley detector

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Asymptotic properties of parametric estimators (62F12) Sequential estimation (62L12)

Review text

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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(3)

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• scientific article; zbMATH DE number 3878196 (Why is no real title available?)
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