On the rate of approximations for maximum likelihood tests in change-point models

DOI10.1006/jmva.1996.0007zbMath0863.62013MaRDI QIDQ1907835

Lajos Horváth, Edit Gombay

Publication date: 13 February 1996

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

Full work available at URL: https://doi.org/10.1006/jmva.1996.0007

zbMATH Keywords

weak convergence; likelihood ratio; nuisance parameters; Brownian bridge; maximum likelihood estimators; Ornstein-Uhlenbeck processes; change-point models; extreme value; rate of approximation; maximum likelihood ratio; weighted approximations; likelihood ratio process; Gaussian-type approximations

Mathematics Subject Classification ID

62E20: Asymptotic distribution theory in statistics

60F05: Central limit and other weak theorems

62A01: Foundations and philosophical topics in statistics

62F05: Asymptotic properties of parametric tests

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