{"id":"https://openalex.org/W4392467950","doi":"https://doi.org/10.1007/s11222-024-10397-6","title":"Estimation of regime-switching diffusions via Fourier transforms","display_name":"Estimation of regime-switching diffusions via Fourier transforms","publication_year":2024,"publication_date":"2024-03-05","ids":{"openalex":"https://openalex.org/W4392467950","doi":"https://doi.org/10.1007/s11222-024-10397-6"},"language":"en","primary_location":{"id":"doi:10.1007/s11222-024-10397-6","is_oa":true,"landing_page_url":"http://dx.doi.org/10.1007/s11222-024-10397-6","pdf_url":"https://link.springer.com/content/pdf/10.1007/s11222-024-10397-6.pdf","source":{"id":"https://openalex.org/S5437875","display_name":"Statistics and Computing","issn_l":"0960-3174","issn":["0960-3174","1573-1375"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Statistics and Computing","raw_type":"journal-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":true,"oa_status":"hybrid","oa_url":"https://link.springer.com/content/pdf/10.1007/s11222-024-10397-6.pdf","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5103102426","display_name":"Thomas Lux","orcid":"https://orcid.org/0000-0002-1858-4724"},"institutions":[{"id":"https://openalex.org/I32021983","display_name":"Kiel University","ror":"https://ror.org/04v76ef78","country_code":"DE","type":"education","lineage":["https://openalex.org/I32021983"]},{"id":"https://openalex.org/I10902133","display_name":"Universitat Jaume I","ror":"https://ror.org/02ws1xc11","country_code":"ES","type":"education","lineage":["https://openalex.org/I10902133"]}],"countries":["DE","ES"],"is_corresponding":true,"raw_author_name":"Thomas Lux","raw_affiliation_strings":["Department of Economics, University Jaume I Castell\u00f3n, Castell\u00f3n de la Plana, Spain","Department of Economics, University of Kiel, Olshausenstr. 40, Kiel, 24118, Germany"],"affiliations":[{"raw_affiliation_string":"Department of Economics, University Jaume I Castell\u00f3n, Castell\u00f3n de la Plana, Spain","institution_ids":["https://openalex.org/I10902133"]},{"raw_affiliation_string":"Department of Economics, University of Kiel, Olshausenstr. 40, Kiel, 24118, Germany","institution_ids":["https://openalex.org/I32021983"]}]}],"institutions":[],"countries_distinct_count":2,"institutions_distinct_count":1,"corresponding_author_ids":["https://openalex.org/A5103102426"],"corresponding_institution_ids":["https://openalex.org/I10902133","https://openalex.org/I32021983"],"apc_list":{"value":2090,"currency":"EUR","value_usd":2690},"apc_paid":{"value":2090,"currency":"EUR","value_usd":2690},"fwci":0.5494,"has_fulltext":true,"cited_by_count":1,"citation_normalized_percentile":{"value":0.63100296,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":90,"max":94},"biblio":{"volume":"34","issue":"2","first_page":null,"last_page":null},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.993399977684021,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.993399977684021,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T12100","display_name":"Advanced Mathematical Modeling in Engineering","score":0.9886999726295471,"subfield":{"id":"https://openalex.org/subfields/1703","display_name":"Computational Theory and Mathematics"},"field":{"id":"https://openalex.org/fields/17","display_name":"Computer Science"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}},{"id":"https://openalex.org/T10360","display_name":"Fluid Dynamics and Turbulent Flows","score":0.9549999833106995,"subfield":{"id":"https://openalex.org/subfields/2206","display_name":"Computational Mechanics"},"field":{"id":"https://openalex.org/fields/22","display_name":"Engineering"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/fourier-transform","display_name":"Fourier transform","score":0.5405683517456055},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.5227116346359253},{"id":"https://openalex.org/keywords/applied-mathematics","display_name":"Applied mathematics","score":0.4678794741630554},{"id":"https://openalex.org/keywords/estimation","display_name":"Estimation","score":0.43703049421310425},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.3758695721626282},{"id":"https://openalex.org/keywords/algorithm","display_name":"Algorithm","score":0.37237659096717834},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.35441821813583374},{"id":"https://openalex.org/keywords/statistical-physics","display_name":"Statistical physics","score":0.32666444778442383},{"id":"https://openalex.org/keywords/mathematical-analysis","display_name":"Mathematical analysis","score":0.20285245776176453},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.1880045235157013},{"id":"https://openalex.org/keywords/physics","display_name":"Physics","score":0.1643335521221161}],"concepts":[{"id":"https://openalex.org/C102519508","wikidata":"https://www.wikidata.org/wiki/Q6520159","display_name":"Fourier transform","level":2,"score":0.5405683517456055},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.5227116346359253},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.4678794741630554},{"id":"https://openalex.org/C96250715","wikidata":"https://www.wikidata.org/wiki/Q965330","display_name":"Estimation","level":2,"score":0.43703049421310425},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.3758695721626282},{"id":"https://openalex.org/C11413529","wikidata":"https://www.wikidata.org/wiki/Q8366","display_name":"Algorithm","level":1,"score":0.37237659096717834},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.35441821813583374},{"id":"https://openalex.org/C121864883","wikidata":"https://www.wikidata.org/wiki/Q677916","display_name":"Statistical physics","level":1,"score":0.32666444778442383},{"id":"https://openalex.org/C134306372","wikidata":"https://www.wikidata.org/wiki/Q7754","display_name":"Mathematical analysis","level":1,"score":0.20285245776176453},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.1880045235157013},{"id":"https://openalex.org/C121332964","wikidata":"https://www.wikidata.org/wiki/Q413","display_name":"Physics","level":0,"score":0.1643335521221161},{"id":"https://openalex.org/C187736073","wikidata":"https://www.wikidata.org/wiki/Q2920921","display_name":"Management","level":1,"score":0.0}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1007/s11222-024-10397-6","is_oa":true,"landing_page_url":"http://dx.doi.org/10.1007/s11222-024-10397-6","pdf_url":"https://link.springer.com/content/pdf/10.1007/s11222-024-10397-6.pdf","source":{"id":"https://openalex.org/S5437875","display_name":"Statistics and Computing","issn_l":"0960-3174","issn":["0960-3174","1573-1375"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Statistics and Computing","raw_type":"journal-article"},{"id":"pmh:oai:repositori.uji.es:10234/206478","is_oa":true,"landing_page_url":"http://hdl.handle.net/10234/206478","pdf_url":null,"source":{"id":"https://openalex.org/S4306400303","display_name":"Repositori UJI (Universitat Jaume I)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I10902133","host_organization_name":"Universitat Jaume I","host_organization_lineage":["https://openalex.org/I10902133"],"host_organization_lineage_names":[],"type":"repository"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"info:eu-repo/semantics/article"}],"best_oa_location":{"id":"doi:10.1007/s11222-024-10397-6","is_oa":true,"landing_page_url":"http://dx.doi.org/10.1007/s11222-024-10397-6","pdf_url":"https://link.springer.com/content/pdf/10.1007/s11222-024-10397-6.pdf","source":{"id":"https://openalex.org/S5437875","display_name":"Statistics and Computing","issn_l":"0960-3174","issn":["0960-3174","1573-1375"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Statistics and Computing","raw_type":"journal-article"},"sustainable_development_goals":[],"awards":[],"funders":[{"id":"https://openalex.org/F4320321553","display_name":"Christian-Albrechts-Universit\u00e4t zu Kiel","ror":"https://ror.org/04v76ef78"}],"has_content":{"pdf":true,"grobid_xml":false},"content_urls":{"pdf":"https://content.openalex.org/works/W4392467950.pdf"},"referenced_works_count":31,"referenced_works":["https://openalex.org/W642531586","https://openalex.org/W1963875897","https://openalex.org/W2014800001","https://openalex.org/W2021006064","https://openalex.org/W2023394487","https://openalex.org/W2028250853","https://openalex.org/W2028429604","https://openalex.org/W2040777649","https://openalex.org/W2042129823","https://openalex.org/W2047663035","https://openalex.org/W2054887988","https://openalex.org/W2084228674","https://openalex.org/W2087061940","https://openalex.org/W2108237853","https://openalex.org/W2144278525","https://openalex.org/W2147145295","https://openalex.org/W2149289963","https://openalex.org/W2152263799","https://openalex.org/W2167832031","https://openalex.org/W2168925746","https://openalex.org/W2488096466","https://openalex.org/W2585393924","https://openalex.org/W2807055392","https://openalex.org/W2899953147","https://openalex.org/W2900812847","https://openalex.org/W2943441992","https://openalex.org/W2963773654","https://openalex.org/W2980845701","https://openalex.org/W3194889306","https://openalex.org/W3206529605","https://openalex.org/W4392467950"],"related_works":["https://openalex.org/W2576994247","https://openalex.org/W2608353378","https://openalex.org/W4249206767","https://openalex.org/W2563559453","https://openalex.org/W2382330008","https://openalex.org/W1519970947","https://openalex.org/W4243860260","https://openalex.org/W4383503847","https://openalex.org/W2342695897","https://openalex.org/W2216265843"],"abstract_inverted_index":{"Abstract":[0],"In":[1],"this":[2,49],"article,":[3],"an":[4,83],"algorithm":[5],"for":[6,32,51,59],"maximum-likelihood":[7],"estimation":[8],"of":[9,26,36,48,71,85],"regime-switching":[10,61],"diffusions":[11,62],"is":[12],"proposed.":[13],"The":[14],"proposed":[15,87],"approach":[16,50],"uses":[17],"a":[18],"Fourier":[19],"transform":[20],"to":[21,77],"numerically":[22],"solve":[23],"the":[24,33,37,44,86],"system":[25],"Fokker\u2013Planck":[27],"or":[28],"forward":[29],"Kolmogorow":[30],"equations":[31],"temporal":[34],"evolution":[35],"state":[38],"densities.":[39],"Monte":[40],"Carlo":[41],"simulations":[42],"confirm":[43],"theoretically":[45],"expected":[46],"consistency":[47],"moderate":[52,69],"sample":[53],"sizes":[54],"and":[55,66,73],"its":[56],"practical":[57],"feasibility":[58],"certain":[60],"used":[63],"in":[64],"economics":[65],"biology":[67],"with":[68],"numbers":[70],"states":[72],"parameters.":[74],"An":[75],"application":[76],"animal":[78],"movement":[79],"data":[80],"serves":[81],"as":[82],"illustration":[84],"algorithm.":[88]},"counts_by_year":[{"year":2024,"cited_by_count":1}],"updated_date":"2026-03-20T23:20:44.827607","created_date":"2025-10-10T00:00:00"}