INTERVAL ESTIMATION OF A CHANGE POINT IN CASES WITH NUISANCE PARAMETERS

This paper discusses the interval estimation of a change point ρ in eases with some nuisance parameters.Two kinds of eonfidence sets for ρ at which the mean of Brownian motion changes are presented.For the change in the mean of normal distribution,we make Siegmund’s1estimation connected.The large diviations for the confidence levels are made by integrating the approximations for some conditional boundary crossing probabilities.