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A bootstrap test for threshold effects in a diffusion process - MaRDI portal

A bootstrap test for threshold effects in a diffusion process

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Publication:6596029

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DOI10.1007/s00180-023-01375-zMaRDI QIDQ6596029

Henghsiu Tsai, Heiko Rachinger, Edward M. H. Lin

Publication date: 2 September 2024

Published in: Computational Statistics (Search for Journal in Brave)

zbMATH Keywords

bootstrap stochastic differential equation testing maximum likelihood estimator non-linear time series threshold diffusion process

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08)

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