Parameter estimation for a discretely observed population process under Markov-modulation
نویسندگان
چکیده
منابع مشابه
On Likelihood Estimation for Discretely Observed Markov Jump Processes
The parameter estimation problem for a Markov jump process sampled at equidistant time points is considered here. Unlike the diffusion case where a closed form of the likelihood function is usually unavailable, here an explicit expansion of the likelihood function of the sampled chain is provided. Under suitable ergodicity conditions on the jump process, the consistency and the asymptotic norma...
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Using the reference probability method, a recursive equation is obtained for the unnormalized joint conditional density of a noisily observed Markov chain, and parameters which determine the transition densities and coefficients in the observations.
متن کاملStatistical inference for discretely observed Markov jump processes
Likelihood inference for discretely observed Markov jump processes with finite state space is investigated. The existence and uniqueness of the maximum likelihood estimator of the intensity matrix are investigated. This topic is closely related to the imbedding problem for Markov chains. It is demonstrated that the maximum likelihood estimator can be found either by the EM algorithm or by a Mar...
متن کاملTesting for Jumps in a Discretely Observed Process By
We propose a new test to determine whether jumps are present in asset returns or other discretely sampled processes. As the sampling interval tends to 0, our test statistic converges to 1 if there are jumps, and to another deterministic and known value (such as 2) if there are no jumps. The test is valid for all Itô semimartingales, depends neither on the law of the process nor on the coefficie...
متن کاملTesting for Jumps in a Discretely Observed Process
We propose a new test to determine whether jumps are present in asset returns or other discretelly sampled processses. As the sampling interval tends to 0, our test statistic converges to 1 if there are jumps, and to another deterministic and known value (such as 2) if there are no jumps. The test is valid for all Itô semimartingales, depends neither on the law of the process nor on the coeffic...
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ژورنال
عنوان ژورنال: Computational Statistics & Data Analysis
سال: 2019
ISSN: 0167-9473
DOI: 10.1016/j.csda.2019.06.008