Threshold models for Lévy processes and approximate maximum likelihood estimation

DOI10.1007/S10559-024-00666-7MaRDI QIDQ6547255zbMATH OpenFDO

Authors Henghsiu Tsai, Alexei V. Nikitin

Publication date 30 May 2024

Published in Cybernetics and Systems Analysis (Search for Journal in Brave)

zbMATH Keywords

stochastic differential equationLévy processesapproximate maximum likelihood methodthreshold jump processes

Mathematics Subject Classification ID

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)

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Cites work

• scientific article; zbMATH DE number 3888631 (Why is no real title available?)
• A bootstrap test for threshold effects in a diffusion process
• Approximate maximum likelihood estimation of a threshold diffusion process
• Asymptotic Analyses for Complex Evolutionary Systems with Markov and Semi‐Markov Switching Using Approximation Schemes
• On recurrence and transience of some Lévy-type processes in ℝ
• On the theory of the Brownian motion.
• Quasi-likelihood estimation of a threshold diffusion process
• Simulation and inference for stochastic differential equations. With R examples.

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