Exact computation of the asymptotic efficiency of maximum likelihood estimators of a discontinuous signal in a Gaussian white noise
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Publication:1906182
DOI10.1214/aos/1176324618zbMath0838.62020MaRDI QIDQ1906182
Publication date: 8 February 1996
Published in: The Annals of Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1214/aos/1176324618
Riemann zeta function; Brownian motion; asymptotic efficiency; Gaussian white noise; maximum likelihood estimators; change-point; Pitman estimator; exact variance; discontinuous signal
62F12: Asymptotic properties of parametric estimators
62M05: Markov processes: estimation; hidden Markov models
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