The location of the maximum of asymmetric two-sided Brownian motion with triangular drift

Henrik Stryhn

Statistics & Probability Letters, 1996, vol. 29, issue 3, 279-284

Abstract: The argmax distribution in Bhattacharya and Brockwell (1976) is extended to branches with unequal scalings as well as drifts. Examples show how this distribution class in change point problems with unequal variability may provide better approximations for the MLE than the symmetrical limit in Yao (1987).

Keywords: Argmax; Change; point; Maximum; likelihood; Bias (search for similar items in EconPapers)
Date: 1996
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Citations: View citations in EconPapers (12)

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