Inference of binary regime models with jump discontinuities

DOI10.1007/S13571-022-00277-2zbMath1517.60110arXiv1910.10606OpenAlexW2981648981MaRDI QIDQ6108879

Milan Kumar Das, Sharan Rajani, Anindya Goswami

Publication date: 30 June 2023

Published in: Sankhyā. Series B (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1910.10606

zbMATH Keywords

statistical inferenceregime-switching modelsjump diffusion modelsthreshold method

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Statistical methods; risk measures (91G70) Non-Markovian processes: estimation (62M09) Jump processes on general state spaces (60J76)

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