Listar Departament: Economia por fuente "Statistics and Computing, 2024, vol. 34, núm. 2, p. 1-16"

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    • openAccess   Estimation of regime-switching diffusions via Fourier transforms 

      Lux, Thomas Springer (2024)
      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 ...