Approximate maximum likelihood estimation of a threshold diffusion process

DOI10.1016/J.CSDA.2019.106823OpenAlexW2967394380MaRDI QIDQ2008117FDOQ2008117

Authors: Ting-Hung Yu, Henghsiu Tsai, Heiko Rachinger 

Publication date: 22 November 2019

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2019.106823

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zbMATH Keywords

nonlinear time seriesstochastic differential equationmaximum likelihood estimatorirregularly-spaced datathreshold diffusion process

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Diffusion processes (60J60)

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Cited In (8)

• GSA-based maximum likelihood estimation for threshold vector error correction model
• Drift Estimation of the Threshold Ornstein-Uhlenbeck Process From Continuous and Discrete Observations
• Quasi-likelihood estimation of a threshold diffusion process
• 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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