IDEAS home Printed from https://ideas.repec.org/a/spr/jotpro/v37y2024i4d10.1007_s10959-024-01343-3.html
   My bibliography  Save this article

Determining the Number and Values of Thresholds for Multi-regime Threshold Ornstein–Uhlenbeck Processes

Author

Listed:
  • Dingwen Zhang

    (Jilin University)

Abstract

The threshold Ornstein–Uhlenbeck process is a stochastic process that satisfies a stochastic differential equation with a drift term modeled as a piecewise linear function and a diffusion term characterized by a positive constant. This paper addresses the challenge of determining both the number and values of thresholds based on the continuously observed process. We present three testing algorithms aimed at determining the unknown number and values of thresholds, in conjunction with least squares estimators for drift parameters. The limiting distribution of the proposed test statistic is derived. Additionally, we employ sequential and global methods to determine the values of thresholds, and prove their weak convergence. Monte Carlo simulation results are provided to illustrate and support our theoretical findings. We utilize the model to estimate the term structure of US treasury rates and currency foreign exchange rates.

Suggested Citation

  • Dingwen Zhang, 2024. "Determining the Number and Values of Thresholds for Multi-regime Threshold Ornstein–Uhlenbeck Processes," Journal of Theoretical Probability, Springer, vol. 37(4), pages 3581-3626, November.
    • Handle: RePEc:spr:jotpro:v:37:y:2024:i:4:d:10.1007_s10959-024-01343-3
    DOI: 10.1007/s10959-024-01343-3
    as

    Download full text from publisher

    File URL: http://link.springer.com/10.1007/s10959-024-01343-3
    File Function: Abstract
    Download Restriction: Access to the full text of the articles in this series is restricted.
    File URL: https://libkey.io/10.1007/s10959-024-01343-3?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:jotpro:v:37:y:2024:i:4:d:10.1007_s10959-024-01343-3. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.