Maximum likelihood estimation of a change-point for exponentially distributed random variables

Stergios Fotopoulos () and Venkata Jandhyala

Statistics & Probability Letters, 2001, vol. 51, issue 4, 423-429

Abstract: We consider the problem of estimating the unknown change-point in the parameter of a sequence of independent and exponentially distributed random variables. An exact expression for the asymptotic distribution of the maximum likelihood estimate of the change-point is derived. The analysis is based on the application of Weiner-Hopf factorization identity involving the distribution of ascending and descending ladder heights, and the renewal measure in random walks.

Keywords: Random; walks; Weiner-Hopf; factorization; Laplace; transform (search for similar items in EconPapers)
Date: 2001
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Citations: View citations in EconPapers (5)

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