The location of the maximum of asymmetric two-sided ...
|Title||The location of the maximum of asymmetric two-sided Brownian motion with triangular drift|
|Author(s)||Henrik E. Stryhn|
|Journal||Statistics & Probability Letters|
|Abstract||The argmax distribution in Bhattacharya and Brockwell (1976) is extended to branches with unequal scalings as well as drifts. Examples show how this distribution class in change point problems with unequal variability may provide better approximations for the MLE than the symmetrical limit in Yao (1987).|
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