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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- A warp-speed method for conducting Monte Carlo experiments involving bootstrap estimators
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- Consistency and limiting distribution of the least squares estimator of a threshold autoregressive model
- Estimating the dimension of a model
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- Limiting properties of the least squares estimator of a continuous threshold autoregressive model
- Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach
- Maximum-likelihood estimation for diffusion processes via closed-form density expansions
- On continuous-time threshold ARMA processes
- On identification of the threshold diffusion processes
- On the approximate maximum likelihood estimation for diffusion processes
- On the approximation of continuous time threshold ARMA processes
- Quasi-likelihood estimation of a threshold diffusion process
- Threshold models in time series analysis -- 30 years on
Cited in
(10)- GSA-based maximum likelihood estimation for threshold vector error correction model
- Maximum likelihood estimation of diffusions by continuous time Markov chain
- The first passage time on the (reflected) Brownian motion with broken drift hitting a random boundary
- On identification of the threshold diffusion processes
- Parameter estimation for generalized Ait-Sahalia-type interest rate model
- Drift Estimation of the Threshold Ornstein-Uhlenbeck Process From Continuous and Discrete Observations
- Threshold models for Lévy processes and approximate maximum likelihood estimation
- Parameters estimation of a threshold Chan-Karolyi-Longstaff-Sanders process from continuous and discrete observations
- Estimating the parameters of a two-threshold Lévy process using the approximate maximum likelihood method
- Quasi-likelihood estimation of a threshold diffusion process
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