Quasi-likelihood-based EM algorithm for regime-switching SDE

DOI10.1007/S00180-025-01686-3MaRDI QIDQ6850922zbMATH OpenFDO

Authors Yuzhong Cheng, Hiroki Masuda

Publication date 27 February 2026

Published in Computational Statistics (Search for Journal in Brave)

zbMATH Keywords

EM algorithmstochastic differential equationsnormal inverse Gaussian distributionhigh-frequency samplingquasi-likelihood approach

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08)

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