2010-09-01, English, Article, Journal or magazine article edition: On limiting likelihood ratio processes of some change-point type statistical models. Dachian, Serguei

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Physical Description
  • Magazine/​Journal article
Published
  • Elsevier B.V., 2010 Sept
Language
  • English

Edition details

Title
  • On limiting likelihood ratio processes of some change-point type statistical models.
Appears In
  • Journal of Statistical Planning and Inference, v.140, no.9, 2010 Sept, p.2682(11) (ISSN: 0378-3758)
Author
  • Dachian, Serguei
Published
  • Elsevier B.V., 2010 Sept
Physical Description
  • Magazine/​Journal article
Subjects
Target Audience
  • Academic
Summary
  • To link to full-text access for this article, visit this link: http:/​/​dx.doi.org/​10.1016/​j.jspi.2010.03.030 Byline: Serguei Dachian Abstract: 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. Author Affiliation: Laboratoire de Mathematiques, Universite Blaise Pascal, 63177 Aubiere CEDEX, France Article History: Received 24 September 2009; Revised 2 March 2010; Accepted 11 March 2010
Terms of Use
  • COPYRIGHT 2010 Elsevier B.V.
Language
  • English
Database
  • Gale Academic OneFile
Identifier
  • 339845084

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