On identification of the threshold diffusion processes
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Abstract: We consider the problems of parameter estimation for several models of threshold ergodic diffusion processes in the asymptotics of large samples. These models are the direct continuous time analogues of the well-known in time series analysis threshold autoregressive (TAR) models. In such models the trend is switching when the observed process atteints some (unknown) values and the problem is to estimate it or to test some hypotheses concerning these values. The related statistical problems correspond to the singular estimation or testing, for example, the rate of convergence of estimators is and not as in regular estimation problems. We study the asymptotic behavior of the maximum likelihood and bayesian estimators and discuss the possibility of the construction of the goodness of fit test for such models of observation.
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Cited in
(16)- On parameter estimation for switching diffusion process
- A threshold estimation problem for processes with hysteresis
- Approximate maximum likelihood estimation of a threshold diffusion process
- Maximum likelihood estimation of diffusions by continuous time Markov chain
- Parameter estimation for threshold Ornstein-Uhlenbeck processes from discrete observations
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