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Approximate maximum likelihood estimation of a threshold diffusion process

Published:2020-02 Issue: Volume:142 Page:106823
ISSN:0167-9473
Container-title:Computational Statistics & Data Analysis
language:en
Short-container-title:Computational Statistics & Data Analysis

Author:

Yu Ting-Hung,Tsai Henghsiu,Rachinger Heiko

Funder

Academia Sinica, Taiwan, ROC

Ministry of Science and Technology

Publisher

Elsevier BV

Subject

Applied Mathematics,Computational Theory and Mathematics,Computational Mathematics,Statistics and Probability

Reference30 articles.

1. Maximum likelihood estimation of discretely sampled diffusions: a closed form approximation approach;Aït-Sahalia;Econometrica,2002

2. Closed-form likelihood expansions for multivariate diffusions;Aït-Sahalia;Ann. Statist.,2008

3. Estimators of diffusions with randomly spaced discrete observations: a general theory;Aït-Sahalia;Ann. Statist.,2004

4. A new look at the statistical model identification;Akaike;IEEE T. Automat. Control,1974

5. On continuous-time threshold ARMA processes;Brockwell;J. Stat. Plan. Infer.,1994

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