Statistical Method to Estimate a Regime-Switching Lévy Model

DOI10.1007/978-3-319-13881-7_42zbMath1351.62162OpenAlexW311422611MaRDI QIDQ2833389

Julien Chevallier, Stéphane Goutte

Publication date: 18 November 2016

Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL: https://halshs.archives-ouvertes.fr/halshs-01090825/file/Goutte_JC_26.pdf

zbMATH Keywords

Markov chainEM-algorithmregime-switching Lévy model

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Non-Markovian processes: estimation (62M09) Markov processes: estimation; hidden Markov models (62M05)

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