The limit distribution of dynamic programming estimators of multiple change points

MaRDI QIDQ5488430zbMATH OpenFDO

Authors O. V. Sugakova, R. E. Maiboroda

Publication date 19 September 2006

Full work available at URL http://www.ams.org/tpms/2004-69-00/S0094-9000-05-00618-6/home.html

zbMATH Keywords

dynamic programmingmaximum likelihood estimatemultiple change pointaveraged likelihood method

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Asymptotic properties of nonparametric inference (62G20) Asymptotic distribution theory in statistics (62E20) Dynamic programming (90C39) Estimation and detection in stochastic control theory (93E10)

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• The length of the interval of indeterminacy for the estimate of multiple change-points
• Limit theorems in change-point problems with multivariate long-range dependent observations

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