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Estimation of the Jump-Point in a Hazard Function

Author

Listed:
  • Abdel-Aty Yahia

    (Department of Mathematics, Faculty of Science, Al-Azhar University, 1884 Nasr City, Cairo, Egypt)

  • Ferger Dietmar

    (Department of Mathematics, Dresden University of Technology, Mommsenstr. 13, D-01062 Dresden, Germany)

Abstract

We consider a piecewise constant hazard function with exactly one jump point, say τ. It uniquely determines an Exponential distribution whose density features a discontinuity of the first kind at the change point τ. Assuming that τ is the unknown parameter of interest, the maximum likelihood estimator is shown to be strongly consistent for τ. Its computation is very simple, because it requires merely a finite number of comparisons. Some graphics and calculations illustrate our results.

Suggested Citation

  • Abdel-Aty Yahia & Ferger Dietmar, 2003. "Estimation of the Jump-Point in a Hazard Function," Stochastics and Quality Control, De Gruyter, vol. 18(2), pages 251-261, January.
    • Handle: RePEc:bpj:ecqcon:v:18:y:2003:i:2:p:251-261:n:7
    DOI: 10.1515/EQC.2003.251
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    References listed on IDEAS

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    1. Tuan Pham & Hung Nguyen, 1993. "Bootstrapping the change-point of a hazard rate," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 45(2), pages 331-340, June.
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