Abstract
Here, we provide a simple proof of the well-known classical result that the estimator of an unknown change-point is inconsistent. The proof utilizes only the law of large numbers in place of the usual random walk theory based arguments.
| Original language | English (US) |
|---|---|
| Pages (from-to) | 309-315 |
| Number of pages | 7 |
| Journal | Metrika |
| Volume | 63 |
| Issue number | 3 |
| DOIs | |
| State | Published - Jun 2006 |
Keywords
- Change-point
- Inconsistency
- Natural exponential family
- Schwarz information criterion
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