Statistical estimation for reflected skew processes

DOI10.1007/S11203-010-9047-6zbMath1209.60046OpenAlexW2126219984MaRDI QIDQ2431005

Miguel Martinez, Olivier Bardou

Publication date: 8 April 2011

Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11203-010-9047-6

zbMATH Keywords

parameter estimationlocal timeskew Brownian motiondivergence form operatorone-dimensional diffusion

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Diffusion processes (60J60) Convergence of probability measures (60B10) Local time and additive functionals (60J55)

Related Items (2)

Two consistent estimators for the skew Brownian motion ⋮ Is a Brownian Motion Skew?

Cites Work

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• On the constructions of the skew Brownian motion
• Dirichlet forms and symmetric Markov processes
• Local time and density estimation in continuous time
• Variably skewed Brownian motion
• On the functional central limit theorem and the law of the iterated logarithm for Markov processes
• Semiparametric Estimation of a Two‐component Mixture Model where One Component is known

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