On the estimation of partially observed continuous-time Markov chains
Author:
Funder
CONTEX
PAPIIT-UNAM
Publisher
Springer Science and Business Media LLC
Subject
Computational Mathematics,Statistics, Probability and Uncertainty,Statistics and Probability
Link
https://link.springer.com/content/pdf/10.1007/s00180-022-01273-w.pdf
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3. Bladt M, Sorensen M (2005) Statistical inference for discretely observed Markov jump processes. J Roy Stat Soc B 67:395–410
4. dos Reis G, Smith G (2018) Robust and consistent estimation of generators in credit risk. Quant Financ 18:983–1001
5. Fearnhead P, Sherlock C (2006) An exact Gibbs sampler for the Markov-modulated Poisson process. J R Stat Soc: Ser B (Stat Methodol) 68:767–784
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