1 citations · 1 across the 2 of their papers we have counts for
4 papers
Nonparametric Inference for Semigroup Blocks of Switching Diffusions
Yuzhong Cheng
Regime-conditioned transition probabilities and moments are basic inputs for prediction and decision making in hybrid systems, but their short-time infinitesimal structure is not d…
Ergodicity and High-Frequency Inference for Hybrid Switching Lévy-Driven Stochastic Differential Equations
Yuzhong Cheng
Hybrid switching Lévy-driven stochastic differential equations with pure-jump noise and state-dependent switching rates are studied under high-frequency observation. A three-stage…
Quasi-likelihood-based EM algorithm for regime-switching SDE
Yuzhong Cheng, Hiroki Masuda
This paper considers estimating the parameters in a regime-switching stochastic differential equation(SDE) driven by Normal Inverse Gaussian(NIG) noise. The model under considerati…
Statistical inference for ergodic diffusion with Markovian switching
Yuzhong Cheng, Hiroki Masuda
This study explores a Gaussian quasi-likelihood approach for estimating parameters of diffusion processes with Markovian regime switching. Assuming the ergodicity under high-freque…