Convergence of changepoint estimators

Dietmar Ferger and Winfried Stute

Stochastic Processes and their Applications, 1992, vol. 42, issue 2, 345-351

Abstract: Let Xn1, ..., Xnn be an array of independent random vectors such that Xn1, ..., Xn[n[theta]] have distribution function F, and Xn[n[theta]]+1, ..., Xnn have distribution function G with F [not equal to] G. In this paper we propose an estimator [theta]n of the changepoint [theta] and show that n([theta]n-[theta]) = O(ln n) with probability one

Keywords: changepoint; estimator; exponential; tail; bound; almost; sure; convergence (search for similar items in EconPapers)
Date: 1992
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Citations: View citations in EconPapers (6)

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