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Statistical inference for ergodic diffusion with Markovian switching

Main:29 Pages
6 Figures
Bibliography:2 Pages
4 Tables
Appendix:2 Pages
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.

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