A LOWER-BOUND FOR ERROR-PROBABILITY IN CHANGE-POINT ESTIMATION

被引：0
|
作者：
HU, IC
RUKHIN, AL
机构：
[1] HONG KONG UNIV SCI & TECHNOL,DEPT MANAGEMENT,KOWLOON,HONG KONG
[2] UNIV MARYLAND,DEPT MATH,BALTIMORE,MD 21228
来源：
STATISTICA SINICA | 1995年 / 5卷 / 01期
关键词：
CHANGE-POINT PROBLEM; ERROR PROBABILITY; EXPONENTIAL FAMILY; MAXIMUM LIKELIHOOD PROCEDURE; MINIMAXITY;
D O I：
暂无
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：
In the classical setting of the change-point estimation problem, where there is no consistent procedure, a lower bound on the limit of the maximum of error probabilities is established. This bound is attained by the maximum likelihood estimator when the two probability distributions before and after the change-point are known. The minimaxity of the maximum likelihood procedure in the sense of attaining the mentioned bound is proved for observations from an exponential family.
引用
收藏
页码：319 / 331
页数：13
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