On the rate of almost sure convergence of Dümbgen's change-point estimators
Consider a triangular array of rowwise independent random elements with values in a measurable space. Suppose there exist [theta]n [set membership, variant]Tn={in-1: 1 [less-than-or-equals, slant]i[less-than-or-equals, slant]n-1} such that X1n,...,Xn,n[theta]n have distribution Pn and Xn,n[theta]n+1,..., Xnn have distribution Qn[not equal to]Pn, where Pn, Qn and [theta]n are unknown. We investigate a large class of change-point estimators n due to Dümbgen. Dümbgen proved that n - [theta]n = Op([gamma]2nn-1), where the sequence ([gamma]n) measures the 'distance' between Pn and Qn. We show that with probability one.
Year of publication: |
1994
|
---|---|
Authors: | Ferger, Dietmar |
Published in: |
Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 19.1994, 1, p. 27-31
|
Publisher: |
Elsevier |
Keywords: | Change-point estimator maximal inequalities maximizer of stochastic processes |
Saved in:
Saved in favorites
Similar items by person
-
Maximal asymptotic power and efficiency of two-sample tests based on generalized U-Statistics
Ferger, Dietmar, (2004)
-
On the power of nonparametric changepoint-tests
Ferger, Dietmar, (1994)
-
Argmax-stable marked empirical processes
Ferger, Dietmar, (2009)
- More ...