Approximate maximum likelihood estimation of a threshold diffusion process

DOI10.1016/j.csda.2019.106823OpenAlexW2967394380MaRDI QIDQ2008117

Henghsiu Tsai, Ting-Hung Yu, 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

zbMATH Keywords

stochastic differential equationmaximum likelihood estimatornonlinear time seriesirregularly-spaced datathreshold diffusion process

Mathematics Subject Classification ID

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

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