On Hinkley's estimator: inference about the change point

DOI10.1016/j.spl.2007.02.011zbMath1128.62094OpenAlexW2014908025MaRDI QIDQ2467377

Stergios B. Fotopoulos, Venkata K. 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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A fast algorithm for short term electric load forecasting by a hidden semi-markov process ⋮ Asymptotic study of the change-point mle in multivariate Gaussian families under contiguous alternatives

Cites Work

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• The geometric convergence rate of the classical change-point estimate
• The exponential rate of convergence of the distribution of the maximum of a random walk
• Capturing the distributional behaviour of the maximum likelihood estimator of a changepoint
• Wiener – hopf factorization revisited and some applications
• Inference about the change-point in a sequence of random variables
• Maximum likelihood estimation of a change-point for exponentially distributed random variables.

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