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.
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}
}
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25 pages