On parameter estimation for switching diffusion process

DOI10.1016/J.SPL.2009.09.002MaRDI QIDQ1041707zbMATH OpenOpenAlexFDO

Authors Anis Gassem

Publication date 4 December 2009

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2009.09.002

Mathematics Subject Classification ID

Point estimation (62F10) Asymptotic properties of parametric estimators (62F12) Bayesian inference (62F15) Markov processes: estimation; hidden Markov models (62M05)

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Cites work

• scientific article; zbMATH DE number 3733065 (Why is no real title available?)
• scientific article; zbMATH DE number 48952 (Why is no real title available?)
• Delay estimation for some stationary diffusion-type processes
• On cusp estimation of ergodic diffusion process
• On parameter estimation for switching ergodic diffusion processes
• Statistical inference for ergodic diffusion processes.

Cited in

(14)

• On the multi-step MLE-process for ergodic diffusion
• Spectral Method for Analysis of Switching Diffusions
• Accumulation of switchings in distributed parameter problems
• Diffusion approximation of nonhomogeneous switching processes and its application to rate of convergence analysis of computational procedures
• On parameter estimation for switching ergodic diffusion processes
• Parameter estimation for diffusion type processes of observation
• On one approach to estimation of parameters of a two-dimensional process of linear diffusion in nonstationary case
• Estimation of change point for switching fractional diffusion processes
• On continuous and discrete sampling for parameter estimation in Markovian switching diffusions
• On frequency estimation for a periodic ergodic diffusion process
• On identification of the threshold diffusion processes
• Least squares estimators for stochastic differential equations with Markovian switching
• Estimation of regime-switching diffusions via Fourier transforms
• Goodness-of-fit test for switching diffusion

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