Cover Image

Approximate Maximum Likelihood Estimation for a Two-Threshold Lévy Process: Convergence Assessment and Data Applications

This paper presents an approach to modelling complex dynamical systems using a two-threshold Lévy process, which allows for changes in process properties when crossing critical values. The proposed model combines three key components – drift, diffusion, and jump – which together enable the descripti...

Full description

Saved in:

Bibliographic Details
Date:	2025
Main Author:	Нечипорук, Сергій
Format:	Article
Language:	English
Published:	Кам'янець-Подільський національний університет імені Івана Огієнка 2025
Online Access:	http://mcm-math.kpnu.edu.ua/article/view/338001
Tags:	Add Tag No Tags, Be the first to tag this record!
Journal Title:	Mathematical and computer modelling. Series: Physical and mathematical sciences

Institution

Mathematical and computer modelling. Series: Physical and mathematical sciences

Similar Items

Quasi-maximum likelihood estimation of the Component-GARCH model using the stochastic approximation algorithm with application to the S&amp;P 500
by: A. Settar, et al.
Published: (2021)

Quality estimation the of maximum-likelihood algorithm to the task of space distribution of elements by PIXE
by: Kovalchuk, I.K., et al.
Published: (2008)

Properties of the Likelihood Ratio for Counting Processes in the Problem of Estimation of Unknown Parameters
by: Lin'kov, Yu. N., et al.
Published: (2000)

Nonlinear normalization of random evolution in the scheme of Levy approximation
by: O. A. Yarova
Published: (2018)

Exponential estimates for the maximum scheme
by: K. S. Akbash
Published: (2017)

Exponential estimates for the maximum scheme
by: Akbash, K. S., et al.
Published: (2017)

Corrected T(q)-Likelihood Estimator in a Generalized Linear Structural Regression Model with Measurement Errors
by: A. V. Savchenko
Published: (2014)

Corrected $T(q)$-Likelihood Estimator in a Generalized Linear Structural Regression Model with Measurement Errors
by: Savchenko, A. V., et al.
Published: (2014)

Estimation of BBU threshold current in an inhomogeneous accelerating section
by: Ayzatsky, M.I., et al.
Published: (2020)

Two-parameter Lévy processes: Ito formula, semigroups, and generators
by: Mishura, Yu.S.
Published: (1995)

Asymptotic dissipativity of stochastic processes with impulse perturbation in the Levy approximation scheme
by: A. V. Nikitin
Published: (2018)

Differential equations with small stochastic summands under the Levy approximating conditions
by: I. V. Samoilenko, et al.
Published: (2017)

Differential equations with small stochastic summands under the Levy approximating conditions
by: Nikitin, A. V., et al.
Published: (2017)

Levy approximation of processes with locally independent increments with semi-Markov switching
by: Koroliuk, V.S., et al.
Published: (2009)

Weak convergence of a series scheme of Markov chains to the solution of a Levy driven SDE
by: T. I. Kosenkova
Published: (2012)

On convergence and estimation of the truncation error of corresponding two-dimensional continued fractions
by: T. M. Antonova, et al.
Published: (2022)

On convergence and estimation of the truncation error of corresponding two-dimensional continued fractions
by: Antonova, T. M., et al.
Published: (2022)

Two-parameter Lévy processes: ItÔ formula, semigroups, and generators
by: Mishura, Yu. S., et al.
Published: (1995)

Large deviations for random evolutions with independent increments in a scheme of Levy approximation
by: I. V. Samoilenko
Published: (2015)

Large deviations for random evolutions with independent increments in a scheme of Levy approximation
by: Samoilenko, I.V.
Published: (2015)

Simulation of abrupt changes in populational dynamics with two threshold states
by: Ju. Perevarjukha
Published: (2016)

Properties of the likelihood ratio for semimartingales with deterministic triplets in the parametric case
by: Lin'kov, Yu. N., et al.
Published: (1999)

Approximation of solutions to the optimal control problems for systems with maximum
by: S. Dashkovskiy, et al.
Published: (2018)

Approximation of solutions to the optimal control problems for systems with maximum
by: Dashkovskiy, S., et al.
Published: (2018)

On the application of strong approximation to weak convergence of products of sums for dependent random variables
by: Matuła, P., et al.
Published: (2008)

Estimation of the convergence rate in central limiting theorem for two-parametric martingale-differences
by: Koval , T. L., et al.
Published: (1992)

Application of threshold detectors for increasing of the contrast in X-ray images
by: Sotnikov, V.V., et al.
Published: (2005)

Sufficient conditions for equivalent convergence of sequence of different approximants for two-dimensional continued fractions
by: T. M. Antonova, et al.
Published: (2015)

Implications for Public Health Strategies: Quantifying the Likelihood of COVID-19 Reinfection
by: Khurana, Pooja, et al.
Published: (2025)

Numerical optimization of the likelihood function based on Kalman filter in the GARCH models
by: M. Benmoumen
Published: (2022)

Influence of the form of atherosclerotic plaques on the likelihood of thrombosis of the internal carotid artery
by: Ju. V. Rodin, et al.
Published: (2014)

Majorant estimates for the percolation threshold of a Bernoulli field on a square lattice
by: Virchenko, Yu. P., et al.
Published: (2005)

Categorial Independence and Lévy Processes
by: Gerhold, Malte, et al.
Published: (2022)

On the rate of convergence of stochastic approximation procedures
by: Koval, V. A., et al.
Published: (1994)

Estimation of the maximum product of inner radii of mutually disjoint domains
by: O. K. Bakhtin, et al.
Published: (2020)

Estimates of maximum of product of inner radii of non-overlapping domains
by: Ya. V. Zabolotnyi
Published: (2017)

Estimation of the maximum product of inner radii of mutually disjoint domains
by: Bakhtin, O. K., et al.
Published: (2020)

Assessment of the probability of system failure with maximum service accumulation elements
by: A. V. Makarichev, et al.
Published: (2018)

The Narrative of Mystic in the Prose by Marc Levy
by: L. V. Matsevko-Bekerska
Published: (2011)

Levy Downcrossing Theorem for the Arratia Flow
by: P. P. Chernega
Published: (2015)