On Limiting Likelihood Ratio Processes of some Change-Point Type Statistical ModelsReportar como inadecuado




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1 LMBP - Laboratoire de Mathématiques Blaise Pascal

Abstract : Different change-point type models encountered in statistical inference for stochastic processes 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 of the large values of the parameter and illustrate the results by numerical simulations.

Keywords : non-regularity change-point Bayesian estimators maximum likelihood estimator limiting distribution limiting variance asymptotic efficiency limiting likelihood ratio process





Autor: Serguei Dachian -

Fuente: https://hal.archives-ouvertes.fr/



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