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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…
Tail-corrected semiparametric inference for regime-switching jump diffusions
Yuzhong Cheng
Regime-switching jump diffusions describe continuous-time dynamical systems that exhibit both abrupt jumps and changes in regime, with applications in economics, ecology, and physi…
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…