On parameter estimation for switching ergodic diffusion processes

DOI10.1016/S0764-4442(00)00286-XzbMath0966.62050OpenAlexW2091003116MaRDI QIDQ4495526

Yury A. Kutoyants

Publication date: 17 August 2001

Published in: Comptes Rendus de l'Académie des Sciences - Series I - Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0764-4442(00)00286-x

zbMATH Keywords

consistencyMLEergodic diffusiontrend parameter

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Bayesian inference (62F15) Markov processes: estimation; hidden Markov models (62M05)

Related Items (6)

On Cramér-von Mises type test based on local time of switching diffusion process ⋮ Goodness-of-fit test for switching diffusion ⋮ On the goodness-of-fit testing for a switching diffusion process ⋮ On Bayesian estimators in misspecified change-point problems for Poisson process ⋮ On Empirical Processes for Ergodic Diffusions and Rates of Convergence of M‐estimators ⋮ On parameter estimation for switching diffusion process

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