Drift Estimation of the Threshold Ornstein-Uhlenbeck Process From Continuous and Discrete Observations

DOI10.5705/SS.202021.0275arXiv2008.12653OpenAlexW3082652948WikidataQ114104347 ScholiaQ114104347MaRDI QIDQ6185131

Sara Mazzonetto, Paolo Pigato

Publication date: 29 January 2024

Published in: Statistica Sinica (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2008.12653

zbMATH Keywords

interest ratesmaximum likelihoodregime-switchingself-exciting processthreshold diffusionmulti-thresholdthreshold Vasicek model

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items (1)

Determining the number and values of thresholds for multi-regime threshold Ornstein-Uhlenbeck processes

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