کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
1150255 | 957919 | 2010 | 11 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
On limiting likelihood ratio processes of some change-point type statistical models
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
ریاضیات کاربردی
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: On limiting likelihood ratio processes of some change-point type statistical models On limiting likelihood ratio processes of some change-point type statistical models](/preview/png/1150255.png)
چکیده انگلیسی
Different change-point type models encountered in parametric statistical inference give rise to different limiting likelihood ratio processes. In this paper we consider two such likelihood ratios. The first one is an exponential functional of a two-sided Poisson process driven by some parameter, while the second one is an exponential functional of a two-sided Brownian motion. We establish that for sufficiently small values of the parameter, the Poisson type likelihood ratio can be approximated by the Brownian type one. As a consequence, several statistically interesting quantities (such as limiting variances of different estimators) related to the first likelihood ratio can also be approximated by those related to the second one. Finally, we discuss the asymptotics for large values of the parameter and illustrate the results by numerical simulations.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Statistical Planning and Inference - Volume 140, Issue 9, September 2010, Pages 2682-2692
Journal: Journal of Statistical Planning and Inference - Volume 140, Issue 9, September 2010, Pages 2682-2692
نویسندگان
Sergueï Dachian,