14 citations · 40 across the 26 of their papers we have counts for
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math.ST2010★ 5 cited
On Parameter Estimation of Threshold Autoregressive Models
Ngai Hang Chan, Yury A. Kutoyants
This paper studies the threshold estimation of a TAR model when the underlying threshold parameter is a random variable. It is shown that the Bayesian estimator is consistent and i…
math.ST2010
On LAN for parametrized continuous periodic signals in a time inhomogeneous diffusion
Reinhard Hoepfner, Yury Kutoyants
We consider a diffusion whose drift involves a -periodic signal. is fixed and known, whereas the signal depends on an unknown -dimensional parameter $\va…
math.ST2010
On Identification of the Threshold Diffusion Processes
Yury A. Kutoyants
We consider the problems of parameter estimation for several models of threshold ergodic diffusion processes in the asymptotics of large samples. These models are the direct contin…