Perpetuities and asymptotic change-point analysis

Michael Baron and Andrew L. Rukhin

Statistics & Probability Letters, 2001, vol. 55, issue 1, 29-38

Abstract: The distribution of stochastically discounted sums (perpetuities) is studied. For Bernoulli-type variables a canonical representation of this distribution is obtained, and it is proven to be singular continuous. In the asymptotic setting of the change-point estimation problem the limiting behavior of the posterior distribution is shown to be given by two independent perpetuities.

Keywords: Change-point; problem; Geometric; distribution; Excursions; Laplace; transform; Perpetuities; Random; walk (search for similar items in EconPapers)
Date: 2001
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