Approximate maximum likelihood estimation of a threshold diffusion process
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Publication:2008117
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Cites work
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- Maximum-likelihood estimation for diffusion processes via closed-form density expansions
- On continuous-time threshold ARMA processes
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- Quasi-likelihood estimation of a threshold diffusion process
- Threshold models in time series analysis -- 30 years on
Cited in
(8)- GSA-based maximum likelihood estimation for threshold vector error correction model
- Quasi-likelihood estimation of a threshold diffusion process
- Drift Estimation of the Threshold Ornstein-Uhlenbeck Process From Continuous and Discrete Observations
- The first passage time on the (reflected) Brownian motion with broken drift hitting a random boundary
- Parameter estimation for generalized Ait-Sahalia-type interest rate model
- On identification of the threshold diffusion processes
- Maximum likelihood estimation of diffusions by continuous time Markov chain
- Threshold models for Lévy processes and approximate maximum likelihood estimation
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