Inference of Binary Regime Models with Jump Discontinuities

@article{Das2022InferenceOB,
  title={Inference of Binary Regime Models with Jump Discontinuities},
  author={Milan Kumar Das and Anindya Goswami and Sharan Rajani},
  journal={Sankhya B},
  year={2022}
}
We have developed a statistical technique to test the model assumption of binary regime switching extension of the geometric L\'{e}vy process (GLP) by proposing a new discriminating statistics. The statistics is sensitive to the transition kernel of the regime switching model. With this statistics, given a time series data, one can test the hypothesis on the nature of regime switching. Furthermore, we have implemented this statistics for testing the regime switching hypothesis with Indian… 

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