Statistical inference for ergodic diffusion with Markovian switching

DOI10.3934/DCDSB.2025056MaRDI QIDQ6970487zbMATH OpenFDO

Authors Yuzhong Cheng, Hiroki Masuda

Publication date 17 June 2025

Published in Discrete and Continuous Dynamical Systems. Series B (Search for Journal in Brave)

zbMATH Keywords

ergodicitydiffusion processMarkovian switchingasymptotic inferenceGaussian quasi-likelihood

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Diffusion processes (60J60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Processes in random environments (60K37)

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