Statistiques de diffusions et temps local. (Statistics of diffusions and local times)

MaRDI QIDQ1098207zbMATH OpenFDO

Authors D. Florens-Zmirou

Publication date 1988

Published in Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Full work available at URL http://www.numdam.org/item?id=AIHPB_1988__24_1_99_0, https://eudml.org/doc/77320

zbMATH Keywords

asymptotic normalityconsistencylocal timeLévy measurequasi- likelihoodzero crossing times after excursions

Mathematics Subject Classification ID

Local time and additive functionals (60J55) Diffusion processes (60J60) Markov processes (60J99) Asymptotic properties of parametric estimators (62F12) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Markov processes: estimation; hidden Markov models (62M05)

Review text

Consider a real-valued diffusion process the diffusion and drift coefficients of which are respectively a constant number and a function depending on some unknown parameter \(\theta\). Suppose moreover that we do not observe completely the diffusion but only its zero crossing times after excursions longer than some \(\epsilon\). We want to estimate \(\theta\) ; this work provides us with a systematic statistical study of this problem. A quasi-likelihood is introduced and the asymptotic properties of the estimators as the time goes to infinity are proved: consistency, asymptotic normality.

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