This paper considers the asymptotic properties of some unit root test statistics with the errors belonging to the domain of attraction of a symmetric α-stable law with 0 α 2. The results obtained can be viewed as a parallel extension of the asymptotic results for the finite-variance case....

We consider the problem of estimating the unknown change-point in the parameter of a sequence of independent and exponentially distributed random variables. An exact expression for the asymptotic distribution of the maximum likelihood estimate of the change-point is derived. The analysis is...