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On the Inconsistency of the Change-Point Estimator for the NE Family |
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| Authors: | |
| Institution: | (1) Department of Mathematics and Program in Statistics, Washington State University, Pullman, WA, 99164, U.S.A;(2) Department of Management & Decision Sciences and Program in Statistics, Washington State University, Pullman, WA, 99164, U.S.A;(3) School of Statistics, University of Minnesota, Minneapolis, MN, 55455, U.S.A |
| 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 |
| Keywords: | Change-point Schwarz information criterion inconsistency natural exponential family |
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