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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
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https://hal-upec-upem.archives-ouvertes.fr/hal-00795479
Contributor : Miguel Martinez Connect in order to contact the contributor
Submitted on : Thursday, February 28, 2013 - 11:32:40 AM
Last modification on : Thursday, October 21, 2021 - 4:33:57 AM

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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⟩

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