Statistical inference for ergodic diffusion with Markovian switching
Fuente:
arXiv
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| Autores principales: | , |
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| Formato: | Preprint |
| Publicado: |
2024
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| Materias: | |
| Acceso en línea: | |
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| _version_ | 1866909611530911744 |
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| author | Cheng, Yuzhong Masuda, Hiroki |
| author_facet | Cheng, Yuzhong Masuda, Hiroki |
| contents | 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. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2410_11333 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Statistical inference for ergodic diffusion with Markovian switching Cheng, Yuzhong Masuda, Hiroki Statistics Theory Primary~62M05, 60H10, 60J60, Secondary~60K37 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. |
| title | Statistical inference for ergodic diffusion with Markovian switching |
| topic | Statistics Theory Primary~62M05, 60H10, 60J60, Secondary~60K37 |
| url | https://arxiv.org/abs/2410.11333 |