Estimation of the Jump-Point in a Hazard Function
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Contributors
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.
Details
Original language | English |
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Pages (from-to) | 251-261 |
Number of pages | 11 |
Journal | Stochastics and Quality Control |
Volume | 18 |
Issue number | 2 |
Publication status | Published - 10 Oct 2003 |
Peer-reviewed | Yes |