论文标题
从连续和离散的观测值的阈值Ornstein-Uhlenbeck过程的漂移估计值
Drift estimation of the threshold Ornstein-Uhlenbeck process from continuous and discrete observations
论文作者
论文摘要
我们将阈值Ornstein-Uhlenbeck引用为连续的阈值自回归过程。它遵循Ornstein-uhlenbeck动力学，当时或低于固定水平，但在此水平（阈值）下，其系数可能是不连续的。我们讨论（准） - 假设连续观察和离散时间观察的漂移参数的最大似然估计。在千古的情况下，我们在长期和高频中得出了这些估计器的一致性和收敛速度。基于这些结果，我们为动力学中阈值的存在开发了测试。最后，我们将这些统计工具应用于美国短期利率建模。
We refer by threshold Ornstein-Uhlenbeck to a continuous-time threshold autoregressive process. It follows the Ornstein-Uhlenbeck dynamics when above or below a fixed level, yet at this level (threshold) its coefficients can be discontinuous. We discuss (quasi)-maximum likelihood estimation of the drift parameters, both assuming continuous and discrete time observations. In the ergodic case, we derive consistency and speed of convergence of these estimators in long time and high frequency. Based on these results, we develop a test for the presence of a threshold in the dynamics. Finally, we apply these statistical tools to short-term US interest rates modeling.
