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

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.

Mots clés: Parameter estimation; Skew Brownian motion; Divergence form operator; One-dimensional diffusion; Local time

Domaines: Statistiques [math.ST]; Théorie [stat.TH]

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