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Statistical inference for ergodic diffusion with Markovian switching
- Publication Year :
- 2024
-
Abstract
- This study explores a Gaussian quasi-likelihood approach for estimating parameters of diffusion processes with Markovian regime switching. Assuming the ergodicity under high-frequency sampling, we will show the asymptotic normality of the unknown parameters contained in the drift and diffusion coefficients and present a consistent explicit estimator for the generator of the Markov chain. Simulation experiments are conducted to illustrate the theoretical results obtained.<br />Comment: 25 pages
- Subjects :
- Mathematics - Statistics Theory
Primary~62M05, 60H10, 60J60, Secondary~60K37
Subjects
Details
- Database :
- arXiv
- Publication Type :
- Report
- Accession number :
- edsarx.2410.11333
- Document Type :
- Working Paper