On limiting likelihood ratio processes of some change-point type statistical models

DOI10.1016/J.JSPI.2010.03.030zbMATH Open1188.62132OpenAlexW2963205483MaRDI QIDQ974514FDOQ974514

Authors S. Dachian

Publication date 3 June 2010

Published in Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0907.0440

zbMATH Keywords

asymptotic efficiencymaximum likelihood estimatorchange-pointlimiting distributionBayesian estimatorsnon-regularitylimiting likelihood ratio processlimiting variance

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Inference from stochastic processes (62M99) Asymptotic distribution theory in statistics (62E20) Parametric inference (62F99) Non-Markovian processes: estimation (62M09) Central limit and other weak theorems (60F05)

Abstract: Different change-point type models encountered in statistical inference for stochastic processes give rise to different limiting likelihood ratio processes. In this paper we consider two such likelihood ratios. The first one is an exponential functional of a two-sided Poisson process driven by some parameter, while the second one is an exponential functional of a two-sided Brownian motion. We establish that for sufficiently small values of the parameter, the Poisson type likelihood ratio can be approximated by the Brownian type one. As a consequence, several statistically interesting quantities (such as limiting variances of different estimators) related to the first likelihood ratio can also be approximated by those related to the second one. Finally, we discuss the asymptotics of the large values of the parameter and illustrate the results by numerical simulations.

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Cited in

(7)

• Estimating discontinuous periodic signals in a time inhomogeneous diffusion
• On estimation errors in optical communication and location
• On compound Poisson processes arising in change-point type statistical models as limiting likelihood ratios
• Translation invariant statistical experiments with independent increments
• Estimating a periodicity parameter in the drift of a time inhomogeneous diffusion
• On a Poissonian change-point model with variable jump size
• On smooth change-point location estimation for Poisson processes

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