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On parameter estimation for switching diffusion process

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  • Gassem, Anis

Abstract

We consider the problem of parameter estimation by the observation of ergodic diffusion process. We suppose that the unknown parameter is two-dimensional and the trend coefficient of the process is discontinuous "sign-type". We describe the asymptotic properties of the maximum likelihood estimator, Bayesian estimator and the estimator of the method of moment in this case.

Suggested Citation

  • Gassem, Anis, 2009. "On parameter estimation for switching diffusion process," Statistics & Probability Letters, Elsevier, vol. 79(24), pages 2484-2492, December.
    • Handle: RePEc:eee:stapro:v:79:y:2009:i:24:p:2484-2492
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    References listed on IDEAS

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    1. Uwe Kuchler & Y. A. Kutoyants, 2000. "Delay Estimation for Some Stationary Diffusion‐type Processes," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 27(3), pages 405-414, September.
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