Article2001

RATE OF CONVERGENCE OF THE MAXIMUM LIKELIHOOD ESTIMATE OF A CHANGE-POINT

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Advanced Statistical Process Monitoring Probability and Statistical Research Statistical Distribution Estimation and Applications

Abstract

SUMMARY. Maximum likelihood method is applied to estimate the change-point of a parameter associated with a sequence of independent random variables. Exact expressions are derived for the limiting distribution of the maximum likelihood estimator of a change-point and computable bounds are suggested. Exponential rate of convergence is obtained from finite sample to the case of infinite sample.

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1987Applied Probability and Queues 1986Comparison Methods for Queues and Other Stochastic Models.1970Inference About the Change-Point in a Sequence of Random Variables 1987Approximating the Distribution of the Maximum Likelihood Estimate of the Change-Point in a Sequence of Independent Random Variables 1988Confidence Sets in Change-Point Problems 1994Some aspects of change-point analysis 1996Some asymptotic results for transient random walks 1987Maximum likelihood estimation of a change-point in the distribution of independent random variables: General multiparameter case

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2013Inference for single and multiple change-points in time series

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