On identification of the threshold diffusion processes

DOI10.1007/S10463-010-0318-1zbMath1238.62092arXiv1003.3539OpenAlexW2139988225MaRDI QIDQ421414

Yury A. Kutoyants

Publication date: 23 May 2012

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1003.3539

zbMATH Keywords

parameter estimationgoodness-of-fit testsergodic diffusion processesCramer-von Mises type testssingular estimation

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15) Markov processes: estimation; hidden Markov models (62M05)

Related Items (11)

Parameter estimation for threshold Ornstein-Uhlenbeck processes from discrete observations ⋮ Estimation in threshold autoregressive models with correlated innovations ⋮ Quasi-likelihood estimation of a threshold diffusion process ⋮ On nonlinear TAR processes and threshold estimation ⋮ Drift Estimation of the Threshold Ornstein-Uhlenbeck Process From Continuous and Discrete Observations ⋮ Approximate maximum likelihood estimation of a threshold diffusion process ⋮ Modified trajectory fitting estimators for multi-regime threshold Ornstein-Uhlenbeck processes ⋮ Testing for Threshold Diffusion ⋮ Determining the number and values of thresholds for multi-regime threshold Ornstein-Uhlenbeck processes ⋮ Statistical inference for Ornstein-Uhlenbeck processes based on low-frequency observations ⋮ Maximum likelihood estimation of diffusions by continuous time Markov chain

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