On compound Poisson processes arising in change-point type statistical models as limiting likelihood ratios
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DOI: 10.1007/s11203-011-9059-x
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References listed on IDEAS
- Ciuperca Gabriela, 2004. "Maximum likelihood estimator in a two-phase nonlinear random regression model," Statistics & Risk Modeling, De Gruyter, vol. 22(4), pages 335-349, April.
- Fujii, Takayuki, 2007. "A note on the asymptotic distribution of the maximum likelihood estimator in a non-regular case," Statistics & Probability Letters, Elsevier, vol. 77(16), pages 1622-1627, October.
- Reinhard Höpfner & Yury Kutoyants, 2010. "Estimating discontinuous periodic signals in a time inhomogeneous diffusion," Statistical Inference for Stochastic Processes, Springer, vol. 13(3), pages 193-230, October.
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Cited by:
- Sergueï Dachian & Lin Yang, 2015. "On a Poissonian change-point model with variable jump size," Statistical Inference for Stochastic Processes, Springer, vol. 18(2), pages 127-150, July.
- Alexander Gushchin & Nino Kordzakhia & Alexander Novikov, 2018. "Translation invariant statistical experiments with independent increments," Statistical Inference for Stochastic Processes, Springer, vol. 21(2), pages 363-383, July.
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More about this item
Keywords
Compound Poisson process; Non-regularity; Change-point; Limiting likelihood ratio process; Bayesian estimators; Maximum likelihood estimator; Limiting distribution; Limiting mean squared error; Asymptotic relative efficiency; 62F99; 62M99;All these keywords.
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Statistics
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