Asymptotic Efficient Estimation of the Change Point with Unknown Distributions
Ritov, Y.
Ann. Statist., Tome 18 (1990) no. 1, p. 1829-1839 / Harvested from Project Euclid
Suppose $X_1,\cdots, X_n$ are distributed according to a probability measure under which $X_1,\cdots, X_n$ are independent, $X_1 \sim F_0$, for $i = 1,\cdots, \lbrack\theta_n n\rbrack$ and $X_i \sim F^{(n)}$ for $i = \lbrack\theta_nn\rbrack + 1, \cdots, n$ where $\lbrack x\rbrack$ denotes the integer part of $x$. In this paper we consider the asymptotic efficient estimation of $\theta_n$ when the distributions are not known. Our estimator is efficient in the sense that if $F^{(n)} = F_{\eta_n}, \eta_n \rightarrow 0$ and $\{F_\eta\}$ is a regular one-dimensional parametric family of distributions, then the estimator is asymptotically equivalent to the best regular estimator.
Publié le : 1990-12-14
Classification:  Asymptotic efficiency,  limit of experiments,  regular estimator,  62G05,  62G20
@article{1176347881,
     author = {Ritov, Y.},
     title = {Asymptotic Efficient Estimation of the Change Point with Unknown Distributions},
     journal = {Ann. Statist.},
     volume = {18},
     number = {1},
     year = {1990},
     pages = { 1829-1839},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176347881}
}
Ritov, Y. Asymptotic Efficient Estimation of the Change Point with Unknown Distributions. Ann. Statist., Tome 18 (1990) no. 1, pp.  1829-1839. http://gdmltest.u-ga.fr/item/1176347881/