Lois asymptotiques des tests et estimateurs de rupture dans un modèle statistique classique

MaRDI QIDQ760729zbMATH OpenFDO

Authors Jean Deshayes, Dominique Picard

Publication date 1984

Published in Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Full work available at URL http://www.numdam.org/item?id=AIHPB_1984__20_4_309_0, https://eudml.org/doc/77239

zbMATH Keywords

maximum likelihood methodinvariance principlechange-point problemsasymptotic behaviour of Bayesian estimatorstests for the existence of a change-pointweak convergence of likelihood processes

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Asymptotic properties of parametric tests (62F05)

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Cited in

(7)

• Estimating discontinuous periodic signals in a time inhomogeneous diffusion
• Estimating a periodicity parameter in the drift of a time inhomogeneous diffusion
• Estimation for the change point of volatility in a stochastic differential equation
• On limiting likelihood ratio processes of some change-point type statistical models
• On weak convergence of the likelihood ratio process in multi-phase regression models
• scientific article; zbMATH DE number 3866366 (Why is no real title available?)
• The likelihood ratio test for the change point problem for exponentially distributed random variables

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