Exact asymptotic distribution of change-point MLE for change in the mean of Gaussian se\-quences

DOI10.1214/09-AOAS294zbMath1194.62016arXiv1011.2322MaRDI QIDQ993276

Stergios B. Fotopoulos, Venkata K. Jandhyala, Elena A. Khapalova

Publication date: 10 September 2010

Published in: The Annals of Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1011.2322

zbMATH Keywords

likelihood ratio; maximum likelihood estimate; random walk with negative drift; ladder epochs

Mathematics Subject Classification ID

62E20: Asymptotic distribution theory in statistics

62M09: Non-Markovian processes: estimation

62F15: Bayesian inference

62E15: Exact distribution theory in statistics

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