Statistics on crossings of discretized diffusions and local time (Q1180181): Difference between revisions

It is shown that under some technical assumptions the zero crossings (properly standardized) of a discretized diffusion process \(dX_ t=b(X_ t,\theta_ 0)dt+dW_ t\) converge to the local time of \(X\). As a second result it is proved that the MLE of \(\theta_ 0\) based on \(Z_ k^{(n)}=\hbox{sgn} X_{k/n}\), \(0\leq k<n\), is an asymptotically normal (consistent) estimator for the unknown parameter \(\theta_ 0\).