Perpetuities and asymptotic change-point analysis

DOI10.1016/S0167-7152(01)00122-5MaRDI QIDQ5953891zbMATH OpenFDO

Authors Michael Baron, Andrew L. Rukhin

Publication date 25 April 2002

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

zbMATH Keywords

Laplace transformexcursionschange-point problemgeometric distributionrandom walksperpetuities

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Asymptotic distribution theory in statistics (62E20)

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Cites work

• scientific article; zbMATH DE number 1026574 (Why is no real title available?)
• scientific article; zbMATH DE number 1046394 (Why is no real title available?)
• An L₂ convergence theorem for random affine mappings
• Consistency and Asymptotic Normality of the Quasi-Maximum Likelihood Estimator in IGARCH(1,1) and Covariance Stationary GARCH(1,1) Models
• Distribution of the number of visits of a random walk
• Generalized autoregressive conditional heteroscedasticity
• Inference about the change-point in a sequence of binomial variables
• Limit theory for the sample autocorrelations and extremes of a GARCH \((1,1)\) process.
• On a stochastic difference equation and a representation of non–negative infinitely divisible random variables
• On the Continuity of the Distribution of a Sum of Dependent Variables Connected with Independent Walks on Lines
• Random difference equations and renewal theory for products of random matrices
• Simulating perpetuities
• The Distribution of a Perpetuity, with Applications to Risk Theory and Pension Funding
• The limit distributions of likelihood ratio and cumulative sum tests for a change in a binomial probability
• The power of likelihood ratio and cumulative sum tests for a change in a binomial probability

Cited in

(2)

• Renorming divergent perpetuities
• Statistical aspects of perpetuities

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