New distribution theory for the estimation of structural break point in mean
Based on the Girsanov theorem, this paper obtains the exact distribution of the maximum likelihood estimator of structural break point in a continuous time model. The exact distribution is asymmetric and tri-modal, indicating that the estimator is biased. These two properties are also found in the f...
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| Main Authors: | , , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2018
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/soe_research/2221 https://ink.library.smu.edu.sg/context/soe_research/article/3220/viewcontent/bias_of_break_point_pp.pdf |
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| Institution: | Singapore Management University |
| Language: | English |