Parameter estimation in continuous time Markov switching models: a semi-continuous Markov chain Monte Carlo approach
DOI10.1214/09-BA402zbMATH Open1330.65021OpenAlexW2073168821MaRDI QIDQ5962431FDOQ5962431
Authors: Markus Hahn, Jörn Sass 
Publication date: 12 February 2016
Published in: Bayesian Analysis (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/euclid.ba/1340370390
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Computational methods in Markov chains (60J22) Point estimation (62F10) Bayesian inference (62F15) Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40)
Cited In (12)
- Moment based regression algorithms for drift and volatility estimation in continuous-time Markov switching models
- Choice between Semi‐parametric Estimators of Markov and Non‐Markov Multi‐state Models from Coarsened Observations
- Exact and approximate hidden Markov chain filters based on discrete observations
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- Markov chain Monte Carlo Estimation of Classical and Dynamic Switching and Mixture Models
- An MCMC computational approach for a continuous time state-dependent regime switching diffusion process
- Optimal stopping of two-time scale Markovian systems: analysis, numerical methods, and applications
- Optimal investment under dynamic risk constraints and partial information
- Discretely observed Brownian motion governed by telegraph signal process: estimation and application to finance
- Markov chain Monte Carlo methods for switching diffusion models
- A Robbins–Monro Algorithm for Non‐Parametric Estimation of NAR Process with Markov Switching: Consistency
- Strong law of large numbers and central limit theorems for functionals of inhomogeneous semi-Markov processes
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