A0683
Title: Approximate maximum likelihood estimation for threshold jump processes
Authors: Milan Kumar Das - Academia Sinica (Taiwan)
Henghsiu Tsai - Academia Sinica (Taiwan) [presenting]
Abstract: An approximate maximum likelihood estimation (AMLE) method is proposed for estimating parameters in a two-state threshold jump-diffusion model. The presence of a threshold mechanism introduces additional complexity, especially when working with discretely sampled data. The AMLE approach is developed to address these challenges by offering an efficient and practical framework for parameter estimation. The finite-sample performance of the method is evaluated through simulation studies, and its real-world applicability is demonstrated using two financial time series datasets.
