Least squares estimators for stochastic differential equations with Markovian switching

DOI10.3934/DCDSB.2022258MaRDI QIDQ2697299zbMATH OpenOpenAlexFDO

Authors Yuhang Zhen, Fubao Xi

Publication date 18 April 2023

Published in Discrete and Continuous Dynamical Systems. Series B (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3934/dcdsb.2022258

zbMATH Keywords

asymptotic distributionconsistencyleast squares estimatorMarkovian switchingstochastic differential equation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60) Processes in random environments (60K37)

Recommendations

• On parameter estimation for switching diffusion process
• Least squares estimators for stochastic differential equations driven by small Lévy noises
• On parameter estimation for switching ergodic diffusion processes
• A least square-type procedure for parameter estimation in stochastic differential equations with additive fractional noise
• Asymptotic theory for non-linear least squares estimator for diffusion processes

Cites work

• A note on ``Least squares estimator for discretely observed Ornstein-Uhlenbeck processes with small Lévy noises
• Asymptotic stability in distribution of stochastic differential equations with Markovian switching.
• Asymptotic Statistics
• Asymptotic theory for non-linear least squares estimator for diffusion processes
• Estimation for Discretely Observed Small Diffusions Based on Approximate Martingale Estimating Functions
• Estimation of parameters for diffusion processes with jumps from discrete observations
• scientific article; zbMATH DE number 3951715 (Why is no real title available?)
• scientific article; zbMATH DE number 3575446 (Why is no real title available?)
• scientific article; zbMATH DE number 3444684 (Why is no real title available?)
• scientific article; zbMATH DE number 1432782 (Why is no real title available?)
• Hybrid switching diffusions. Properties and applications
• Invariant Measures and Euler--Maruyama's Approximations of State-Dependent Regime-Switching Diffusions
• Least squares estimator for discretely observed Ornstein-Uhlenbeck processes with small Lévy noises
• Least squares estimators for discretely observed stochastic processes driven by small Lévy noises
• Least squares estimators for stochastic differential equations driven by small Lévy noises
• Nonlinear Filtering and Control of a Switching Diffusion with Small Observation Noise
• On hybrid competitive Lotka-Volterra ecosystems
• On the detectability and observability of continuous stochastic Markov jump linear systems
• Parameter estimation for a class of stochastic differential equations driven by small stable noises from discrete observations
• Stochastic Differential Equations with Markovian Switching
• Stock trading: an optimal selling rule
• The consistency of a nonlinear least squares estimator from diffusion processes

Cited in

(5)

• Approximation of the likelihood function for stochastic differential equations with Markovian switching
• On continuous and discrete sampling for parameter estimation in Markovian switching diffusions
• Statistical inference for ergodic diffusion with Markovian switching
• Deep learning-based estimation of time-dependent parameters in Markov models with application to nonlinear regression and SDEs
• Euler scheme for some SDEs with fractional noise and Markov switching

Describes a project that uses

Uses Software

• CRAN

This page was built for publication: Least squares estimators for stochastic differential equations with Markovian switching

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2697299)