Estimation of regime-switching diffusions via Fourier transforms

Lux, Thomas

dc.contributor.author	Lux, Thomas
dc.date.accessioned	2024-04-17T17:51:38Z
dc.date.available	2024-04-17T17:51:38Z
dc.date.issued	2024
dc.identifier.citation	LUX, Thomas. Estimation of regime-switching diffusions via Fourier transforms. Statistics and Computing, 2024, vol. 34, núm. 2, p. 1-16.	ca_CA
dc.identifier.issn	0960-3174
dc.identifier.issn	1573-1375
dc.identifier.uri	http://hdl.handle.net/10234/206478
dc.description.abstract	In this article, an algorithm for maximum-likelihood estimation of regime-switching diffusions is proposed. The proposed approach uses a Fourier transform to numerically solve the system of Fokker–Planck or forward Kolmogorow equations for the temporal evolution of the state densities. Monte Carlo simulations confirm the theoretically expected consistency of this approach for moderate sample sizes and its practical feasibility for certain regime-switching diffusions used in economics and biology with moderate numbers of states and parameters. An application to animal movement data serves as an illustration of the proposed algorithm.	ca_CA
dc.format.extent	16 p.	ca_CA
dc.format.mimetype	application/pdf	ca_CA
dc.language.iso	eng	ca_CA
dc.publisher	Springer	ca_CA
dc.relation.isPartOf	Statistics and Computing, 2024, vol. 34, núm. 2, p. 1-16	ca_CA
dc.rights	Open Access This article is licensed under a Creative Commons Attribution 4.0 International License, which permits use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons licence, and indicate if changes were made. The images or other third party material in this article are included in the article’s Creative Commons licence, unless indicated otherwise in a credit line to the material. If material is not included in the article’s Creative Commons licence and your intended use is not permitted by statutory regulation or exceeds the permitted use, you will need to obtain permission directly from the copyright holder. To view a copy of this licence, visit http://creativecommons.org/licenses/by/4.0/.	ca_CA
dc.rights.uri	http://creativecommons.org/licenses/by/4.0/	ca_CA
dc.subject	Regime-switching diffusion	ca_CA
dc.subject	Fourier transformation	ca_CA
dc.subject	Fokker–Planck equation	ca_CA
dc.subject	Multifractal diffusion	ca_CA
dc.subject	Animal motion	ca_CA
dc.title	Estimation of regime-switching diffusions via Fourier transforms	ca_CA
dc.type	info:eu-repo/semantics/article	ca_CA
dc.identifier.doi	https://doi.org/10.1007/s11222-024-10397-6
dc.rights.accessRights	info:eu-repo/semantics/openAccess	ca_CA
dc.relation.publisherVersion	https://link.springer.com/article/10.1007/s11222-024-10397-6	ca_CA
dc.type.version	info:eu-repo/semantics/publishedVersion	ca_CA
project.funder.name	Generalitat Valenciana
project.funder.name	Deutsche Forschungsgemeinschaft
oaire.awardNumber	AICO/2021/005
oaire.awardNumber	515517659

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Open Access This article is licensed under a Creative Commons Attribution 4.0 International License, which permits use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons licence, and indicate if changes were made. The images or other third party material in this article are included in the article’s Creative Commons licence, unless indicated otherwise in a credit line to the material. If material is not included in the article’s Creative Commons licence and your intended use is not permitted by statutory regulation or exceeds the permitted use, you will need to obtain permission directly from the copyright holder. To view a copy of this licence, visit http://creativecommons.org/licenses/by/4.0/.

Excepto si se señala otra cosa, la licencia del ítem se describe como: Open Access This article is licensed under a Creative Commons Attribution 4.0 International License, which permits use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons licence, and indicate if changes were made. The images or other third party material in this article are included in the article’s Creative Commons licence, unless indicated otherwise in a credit line to the material. If material is not included in the article’s Creative Commons licence and your intended use is not permitted by statutory regulation or exceeds the permitted use, you will need to obtain permission directly from the copyright holder. To view a copy of this licence, visit http://creativecommons.org/licenses/by/4.0/.