Threshold models for Lévy processes and approximate maximum likelihood estimation
DOI10.1007/S10559-024-00666-7MaRDI QIDQ6547255FDOQ6547255
Authors: Henghsiu Tsai, Alexei V. Nikitin 
Publication date: 30 May 2024
Published in: Cybernetics and Systems Analysis (Search for Journal in Brave)
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stochastic differential equationLévy processesapproximate maximum likelihood methodthreshold jump processes
Processes with independent increments; Lévy processes (60G51) Markov processes: estimation; hidden Markov models (62M05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Jump processes on general state spaces (60J76)
Cites Work
- Simulation and inference for stochastic differential equations. With R examples.
- Title not available (Why is that?)
- On recurrence and transience of some Lévy-type processes in ℝ
- Quasi-likelihood estimation of a threshold diffusion process
- On the theory of the Brownian motion.
- Approximate maximum likelihood estimation of a threshold diffusion process
- Asymptotic Analyses for Complex Evolutionary Systems with Markov and Semi‐Markov Switching Using Approximation Schemes
- A bootstrap test for threshold effects in a diffusion process
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