Asymptotic law in sequential estimation of a change point

O. de Cambry

Statistics & Probability Letters, 1993, vol. 16, issue 5, 379-390

Abstract: We are concerned with the change point problem for independent random variables when the distributions before and after the change point are known. We construct a consistent and asymptotically Gaussian sequential estimator of the change point.

Keywords: Change; point; stochastic; algorithm; sequential; estimation; asymptotic; properties (search for similar items in EconPapers)
Date: 1993
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