On Hinkley's estimator: inference about the change point

DOI10.1016/J.SPL.2007.02.011MaRDI QIDQ2467377zbMATH OpenOpenAlexFDO

Authors Stergios Fotopoulos, Venkata Jandhyala

Publication date 21 January 2008

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

Full work available at URL https://doi.org/10.1016/j.spl.2007.02.011

zbMATH Keywords

maximum likelihood estimationrandom walksWiener-Hopf factorization

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Asymptotic distribution theory in statistics (62E20) Non-Markovian processes: estimation (62M09) Sums of independent random variables; random walks (60G50)

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Cites work

• scientific article; zbMATH DE number 3223985 (Why is no real title available?)
• scientific article; zbMATH DE number 3349081 (Why is no real title available?)
• scientific article; zbMATH DE number 3194856 (Why is no real title available?)
• Capturing the distributional behaviour of the maximum likelihood estimator of a changepoint
• Inference about the change-point in a sequence of random variables
• Maximum likelihood estimation of a change-point for exponentially distributed random variables.
• Rate of convergence of the maximum likelihood estimate of a change-point
• The exponential rate of convergence of the distribution of the maximum of a random walk
• The geometric convergence rate of the classical change-point estimate
• Wiener – hopf factorization revisited and some applications

Cited in

(7)

• Maximum likelihood estimation of a change-point for exponentially distributed random variables.
• Rate of convergence of the maximum likelihood estimate of a change-point
• Approximating the distribution of the maximum likelihood estimate of the change-point in a sequence of independent random variables
• scientific article; zbMATH DE number 58690 (Why is no real title available?)
• A fast algorithm for short term electric load forecasting by a hidden semi-markov process
• Exact asymptotic distribution of change-point MLE for change in the mean of Gaussian se\-quences
• Asymptotic study of the change-point mle in multivariate Gaussian families under contiguous alternatives

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