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

被引：28

作者：

Fotopoulos, S

Jandhyala, V

机构：

[1] Washington State Univ, Coll Business & Econ, Dept Management & Decis Sci, Pullman, WA 99164 USA

[2] Washington State Univ, Dept Pure & Appl Math, Pullman, WA 99164 USA

来源：

STATISTICS & PROBABILITY LETTERS | 2001年 / 51卷 / 04期

关键词：

random walks; Weiner-Hopf factorization; Laplace transform;

D O I：

10.1016/S0167-7152(00)00185-1

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

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. (C) 2001 Elsevier Science B.V. All rights reserved MSC. 62F12; 60J15.

引用

页码：423 / 429

页数：7

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