Capturing the distributional behaviour of the maximum likelihood estimator of a changepoint
刻画变点最大似然估计量的分布行为
We consider the problem of estimating the unknown changepoint in a sequence of time-ordered observations. Upper and lower bounds are derived for the asymptotic distribution of the maximum likelihood estimator and methods of approximation are suggested. A computationally efficient algorithm is presented for deriving the bounds and approximations for the asymptotic probabilities of the maximum likelihood estimator when the parameters before and after the changepoint are…