The rates of convergence of Bayes estimators in change-point analysis
In the asymptotic setting of the change-point estimation problem the limiting behavior of Bayes procedures for the zero-one loss function is studied. The limiting distribution of the difference between the Bayes estimator and the parameter is derived. An explicit formula for the limit of the minimum Bayes risk for the geometric prior distribution is obtained from Spitzer's formula, and the rates of convergence in these limiting relations are determined.
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Volume (Year): 27 (1996)
Issue (Month): 4 (May)
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- Ferger, Dietmar & Stute, Winfried, 1992. "Convergence of changepoint estimators," Stochastic Processes and their Applications, Elsevier, vol. 42(2), pages 345-351, September.
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