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

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.

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Year of publication:	2001
Authors:	Fotopoulos, Stergios ; Jandhyala, Venkata
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 51.2001, 4, p. 423-429
Publisher:	Elsevier
Keywords:	Random walks Weiner-Hopf factorization Laplace transform

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005223615