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Statistical Method to Estimate a Regime-Switching Lévy Model - MaRDI portal

Statistical Method to Estimate a Regime-Switching Lévy Model (Q2833389)

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Statistical Method to Estimate a Regime-Switching Lévy Model
scientific article

    Statements

    title
    Statistical Method to Estimate a Regime-Switching Lévy Model (English)
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    author
    Julien Chevallier
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    Stéphane Goutte
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    publication date
    18 November 2016
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    zbMATH Keywords
    regime-switching Lévy model
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    Markov chain
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    EM-algorithm
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    Identifiers

    Mathematics Subject Classification ID
    62M09
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    62M05
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    60G51
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    zbMATH DE Number
    6654377
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    OpenAlex ID
    W311422611
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