Least squares estimators for stochastic differential equations with Markovian switching

DOI10.3934/DCDSB.2022258OpenAlexW4319989098MaRDI QIDQ2697299FDOQ2697299

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

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zbMATH Keywords

consistencyasymptotic distributionstochastic differential equationMarkovian switchingleast squares estimator

Mathematics Subject Classification ID

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

Cites Work

• Asymptotic Statistics
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• Stochastic Differential Equations with Markovian Switching
• Estimation of parameters for diffusion processes with jumps from discrete observations
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• Asymptotic stability in distribution of stochastic differential equations with Markovian switching.
• On hybrid competitive Lotka-Volterra ecosystems
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• Parameter estimation for a class of stochastic differential equations driven by small stable noises from discrete observations
• Least squares estimator for discretely observed Ornstein-Uhlenbeck processes with small Lévy noises
• A note on ``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
• Estimation for Discretely Observed Small Diffusions Based on Approximate Martingale Estimating Functions
• On the detectability and observability of continuous stochastic Markov jump linear systems
• Least squares estimators for stochastic differential equations driven by small Lévy noises
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• Invariant Measures and Euler--Maruyama's Approximations of State-Dependent Regime-Switching Diffusions
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Cited In (2)

• On continuous and discrete sampling for parameter estimation in Markovian switching diffusions
• Approximation of the likelihood function for stochastic differential equations with Markovian switching

Uses Software

• CRAN

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