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Parameter estimation for the skew Ornstein-Uhlenbeck processes based on discrete observations.
- Source :
-
Communications in Statistics: Theory & Methods . 2020, Vol. 49 Issue 9, p2176-2188. 13p. - Publication Year :
- 2020
-
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]
- Subjects :
- *ORNSTEIN-Uhlenbeck process
*PARAMETER estimation
*ASYMPTOTIC normality
Subjects
Details
- Language :
- English
- ISSN :
- 03610926
- Volume :
- 49
- Issue :
- 9
- Database :
- Academic Search Index
- Journal :
- Communications in Statistics: Theory & Methods
- Publication Type :
- Academic Journal
- Accession number :
- 142247173
- Full Text :
- https://doi.org/10.1080/03610926.2019.1568490