Statistical inference for the shape parameter change-point estimator in negative associated gamma distribution
Changchun Tan, Miao Bai-qi, Xingcai Zhou · Journal of Inequalities and Applications · 2013
In this paper, the change-point estimator for the shape parameter is proposed in a negative associated gamma random variable sequence. Suppose that are negative associated random variables satisfying that are identically distributed with , and that are identically distributed with ; the change point is unknown. The weak and strong consistency, and the weak and strong convergence rate of the change-point estimator, are given by the CUSUM method. Furthermore, the convergence rate of the change-point estimator is presented under the local alternative hypothesis condition. MSC:62F12, 62G10.