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Statistical inference for ergodic diffusion with Markovian switching

Statistics Theory 2025-05-19 v3 Statistics Theory

Abstract

This study explores a Gaussian quasi-likelihood approach for estimating parameters of diffusion processes with Markovian regime switching. Assuming the ergodicity under high-frequency sampling, we will show the asymptotic normality of the unknown parameters contained in the drift and diffusion coefficients and present a consistent explicit estimator for the generator of the Markov chain. Simulation experiments are conducted to illustrate the theoretical results obtained.

Keywords

Cite

@article{arxiv.2410.11333,
  title  = {Statistical inference for ergodic diffusion with Markovian switching},
  author = {Yuzhong Cheng and Hiroki Masuda},
  journal= {arXiv preprint arXiv:2410.11333},
  year   = {2025}
}

Comments

25 pages

R2 v1 2026-06-28T19:22:09.427Z