Skip to Main content Skip to Navigation
Journal articles

Statistical estimation for reflected skew processes

Olivier Bardou 1 Miguel Martinez 2
1 LPMA - Laboratoire de Probabilités et Modèles Aléatoires
2 LAMA - Laboratoire d'Analyse et de Mathématiques Appliquées
Abstract : In this note, we construct estimators for the parameters that rule the law of reflected skewed diffusion processes. The convergence properties of these estimators rely on the ergodic properties of these processes.
Keywords : Parameter estimation Skew Brownian motion Divergence form operator One-dimensional diffusion Local time
Document type :
Journal articles
Complete list of metadata
https://hal-upec-upem.archives-ouvertes.fr/hal-00795479
Contributor : Miguel Martinez <>
Submitted on : Thursday, February 28, 2013 - 11:32:40 AM
Last modification on : Tuesday, December 15, 2020 - 4:02:45 AM

Links full text

istex

Identifiers

Collections

UPEC-UPEM | CV_LAMA_UMR8050 | UPEC | LAMA_PS | LAMA_UMR8050 | UNIV-MLV | CNRS | INSMI | UPMC | PMA | SORBONNE-UNIVERSITE | UNIV-PARIS7 | USPC | SU-SCIENCES | UNIV-PARIS

Citation

Olivier Bardou, Miguel Martinez. Statistical estimation for reflected skew processes. Statistical Inference for Stochastic Processes, Springer Verlag, 2010, 13 (3), pp. 231-248(18). ⟨10.1007/s11203-010-9047-6⟩. ⟨hal-00795479⟩

Export

BibTeX TEI DC DCterms EndNote

Share

Metrics

Record views

630