Threshold models for Lévy processes and approximate maximum likelihood estimation

DOI10.1007/s10559-024-00666-7MaRDI QIDQ6547255

Alexei V. Nikitin, Henghsiu Tsai

Publication date: 30 May 2024

Published in: Cybernetics and Systems Analysis (Search for Journal in Brave)

zbMATH Keywords

stochastic differential equationLévy processesapproximate maximum likelihood methodthreshold jump processes

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Markov processes: estimation; hidden Markov models (62M05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Jump processes on general state spaces (60J76)

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