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Perpetuities and asymptotic change-point analysis

โœ Scribed by Michael Baron; Andrew L. Rukhin

Publisher
Elsevier Science
Year
2001
Tongue
English
Weight
111 KB
Volume
55
Category
Article
ISSN
0167-7152

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โœฆ Synopsis

The distribution of stochastically discounted sums (perpetuities) is studied. For Bernoulli-type variables a canonical representation of this distribution is obtained, and it is proven to be singular continuous. In the asymptotic setting of the change-point estimation problem the limiting behavior of the posterior distribution is shown to be given by two independent perpetuities.

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