Estimating models based on Markov jump processes given fragmented observation series (Q5962989): Difference between revisions

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+Exact and Computationally Efficient Likelihood-Based Estimation for Discretely Observed Diffusion Processes (with Discussion)
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+Q3292891
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+Statistical Methods in Markov Chains
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+Statistical Inference for Discretely Observed Markov Jump Processes
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+AMERICAN OPTIONS WITH REGIME SWITCHING
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+Moment based regression algorithms for drift and volatility estimation in continuous-time Markov switching models
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+Markov chain Monte Carlo Estimation of Classical and Dynamic Switching and Mixture Models
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+Finite mixture and Markov switching models.
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+Asset allocation under multivariate regime switching
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+An explicit solution to an optimal stopping problem with regime switching
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+Option pricing in a regime-switching model using the fast Fourier transform
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+Optimizing the terminal wealth under partial information: the drift process as a continuous time Markov chain
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+Bayesian Methods for Hidden Markov Models
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