Two consistent estimators for the skew Brownian motion
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Publication:5881039
DOI10.1051/ps/2018018zbMath1506.60057OpenAlexW2611013144WikidataQ128706069 ScholiaQ128706069MaRDI QIDQ5881039
Antoine Lejay, Ernesto Mordecki, Soledad Torres
Publication date: 9 March 2023
Published in: ESAIM: Probability and Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1051/ps/2018018
excursion theoryexpectation-maximization algorithmskew Brownian motionmaximum likelihood estimator null recurrent process
Asymptotic properties of parametric estimators (62F12) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)
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