Maximum likelihood estimation in hazard rate models with a change-point |
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Authors: | Yi-Ching Yao |
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Institution: | Department of Statistics , Colorado State University , Fort Collins, 80523 |
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Abstract: | The problem of estimation of parameters in hazard rate models with a change-point is considered. An interesting feature of this problem is that the likelihood function is unbounded. A maximum likelihood estimator of the change-point subject to a natural constraint is proposed, which is shown to be consistent.The limiting distributions are also derived. |
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Keywords: | Change-ponit parameter Consistency Hazard rate Limiting distribution Maximum likelihood |
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