Exact Distribution of Argmax (Argmin)

Habibi Reza ()
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Habibi Reza: Department of Statistics, Central Bank of Iran, Ferdowsi Ave., 1135931496 Tehran, Iran.

Stochastics and Quality Control, 2011, vol. 26, issue 2, 155-162

Abstract: This paper is concerned with the exact distribution of argmax (argmin) of a sequence of random variables. By argmax (argmin), we mean the random variable which attains the maximum (minimum) of the sequence. Change point estimators are of this type and the asymptotic distribution of this kind of estimator is studied extensively in literature. However, the exact distributions is generally not considered. Therefore, this paper is devoted to the exact distributions of the argmax in case of several examples. Finally, an approximation method is proposed.

Keywords: Change Point; Exact Distribution; Monte Carlo Simulation (search for similar items in EconPapers)
Date: 2011
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Persistent link: https://EconPapers.repec.org/RePEc:bpj:ecqcon:v:26:y:2011:i:2:p:155-162:n:7

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DOI: 10.1515/EQC.2011.015

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