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Your search keyword '"Xing, Xiaoyu"' showing total 1 results
Start Over Author "Xing, Xiaoyu" Topic invariant density Publisher taylor & francis ltd

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1 results on '"Xing, Xiaoyu"'

1. Parameter estimation for the skew Ornstein-Uhlenbeck processes based on discrete observations.

Author

Xing, Xiaoyu, Zhao, Danfeng, and Li, Bing

Subjects
*ORNSTEIN-Uhlenbeck process, *PARAMETER estimation, *ASYMPTOTIC normality
Abstract

In this paper, the drift parameter estimation for the one-dimensional skew Ornstein-Uhlenbeck process is considered. We derived the moment estimator in terms of the sample moments and invariant density. Then, we proved the strong consistency and asymptotic normality. Finally, some numerical experiments are presented to show the effect of the moment estimator. [ABSTRACT FROM AUTHOR]

Published
2020
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