Quasi-likelihood-based EM algorithm for regime-switching SDE
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Cites work
- An MCMC computational approach for a continuous time state-dependent regime switching diffusion process
- Computing the exponential of an intensity matrix
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- Introduction to scientific programming and simulation using R
- Joint estimation for SDE driven by locally stable Lévy processes
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- Optimal stable Ornstein-Uhlenbeck regression
- Statistical guarantees for the EM algorithm: from population to sample-based analysis
- Stochastic Differential Equations with Markovian Switching
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