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Estimation of the Jump-Point in a Hazard Function

Estimation of the Jump-Point in a Hazard Function 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. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Economic Quality Control de Gruyter

Estimation of the Jump-Point in a Hazard Function

Economic Quality Control , Volume 18 (2) – Oct 1, 2003

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Publisher
de Gruyter
Copyright
Copyright © 2003 by the
ISSN
1869-6147
eISSN
1869-6147
DOI
10.1515/EQC.2003.251
Publisher site
See Article on Publisher Site

Abstract

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.

Journal

Economic Quality Controlde Gruyter

Published: Oct 1, 2003

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