The Annals of Statistics

Approximating the Distribution of the Maximum Likelihood Estimate of the Change-Point in a Sequence of Independent Random Variables

Yi-Ching Yao

Full-text: Open access

Abstract

The problem of estimating the change-point in a sequence of independent random variables is considered. As the sample sizes before and after the change-point tend to infinity, Hinkley (1970) showed that the maximum likelihood estimate of the change-point converges in distribution to that of the change-point based on an infinite sample. Letting the amount of change in distribution approach 0, it is shown that the distribution, suitably normalized, of the maximum likelihood estimate based on an infinite sample converges to a simple one which is related to the location of the maximum for a two-sided Wiener process. Numerical results show that this simple distribution provides a good approximation to the exact distribution (with an infinite sample) in the normal case. However, it is unclear whether the approximation is good for general nonnormal cases.

Article information

Source
Ann. Statist., Volume 15, Number 3 (1987), 1321-1328.

Dates
First available in Project Euclid: 12 April 2007

Permanent link to this document
https://projecteuclid.org/euclid.aos/1176350509

Digital Object Identifier
doi:10.1214/aos/1176350509

Mathematical Reviews number (MathSciNet)
MR902262

Zentralblatt MATH identifier
0651.62017

JSTOR
links.jstor.org

Subjects
Primary: 62E20: Asymptotic distribution theory
Secondary: 62F12: Asymptotic properties of estimators

Keywords
Change-point limiting distribution location of the maximum Wiener process

Citation

Yao, Yi-Ching. Approximating the Distribution of the Maximum Likelihood Estimate of the Change-Point in a Sequence of Independent Random Variables. Ann. Statist. 15 (1987), no. 3, 1321--1328. doi:10.1214/aos/1176350509. https://projecteuclid.org/euclid.aos/1176350509


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