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On identification of the threshold diffusion processes

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  • Yury Kutoyants

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  • Yury Kutoyants, 2012. "On identification of the threshold diffusion processes," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 64(2), pages 383-413, April.
    • Handle: RePEc:spr:aistmt:v:64:y:2012:i:2:p:383-413
    DOI: 10.1007/s10463-010-0318-1
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    References listed on IDEAS

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    1. Bruce E. Hansen, 2000. "Sample Splitting and Threshold Estimation," Econometrica, Econometric Society, vol. 68(3), pages 575-604, May.
    2. Ilia Negri & Yoichi Nishiyama, 2009. "Goodness of fit test for ergodic diffusion processes," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 61(4), pages 919-928, December.
    3. Marc Decamps & Marc Goovaerts & Wim Schoutens, 2006. "Self Exciting Threshold Interest Rates Models," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 9(07), pages 1093-1122.
    4. Koul, Hira L. & Qian, Lianfen & Surgailis, Donatas, 2003. "Asymptotics of M-estimators in two-phase linear regression models," Stochastic Processes and their Applications, Elsevier, vol. 103(1), pages 123-154, January.
    5. Yury Kutoyants, 2010. "On the goodness-of-fit testing for ergodic diffusion processes," Journal of Nonparametric Statistics, Taylor & Francis Journals, vol. 22(4), pages 529-543.
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    Cited by:

    1. Su, Fei & Chan, Kung-Sik, 2015. "Quasi-likelihood estimation of a threshold diffusion process," Journal of Econometrics, Elsevier, vol. 189(2), pages 473-484.
    2. P. Chigansky & Yu. Kutoyants, 2013. "Estimation in threshold autoregressive models with correlated innovations," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 65(5), pages 959-992, October.
    3. Antoine Lejay & Paolo Pigato, 2020. "Maximum likelihood drift estimation for a threshold diffusion," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 47(3), pages 609-637, September.
    4. Carlo Lucheroni, 2012. "A hybrid SETARX model for spikes in tight electricity markets," Operations Research and Decisions, Wroclaw University of Science and Technology, Faculty of Management, vol. 22(1), pages 13-49.
    5. Kirkby, J.L. & Nguyen, Dang H. & Nguyen, Duy & Nguyen, Nhu N., 2022. "Maximum likelihood estimation of diffusions by continuous time Markov chain," Computational Statistics & Data Analysis, Elsevier, vol. 168(C).

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