NDLI: Estimation du paramètre de dérive d'une diffusion sous des conditions d'irrégularité de la dérive*

Content Provider	Semantic Scholar
Author	Souchet, Sandie
Copyright Year	1999
Abstract	Resume Dans le modele de diffusion considere, la fonction de derive est lipschitzienne sur ℝ mais non derivable en r 0 . Notre but est d'estimer ce parametre de seuil a partir d'une observation discretisee a pas h n du processus stationnaire et ergodique. Les moindres carres associes au schema d'Euler fournissent un estimateur consistant de r 0 lorsque nh n → +∞ et h n → 0. Si de plus, nh n 3 → 0, l'estimation est asymptotiquement normale avec la vitesse standard √ nh n .
Starting Page	717
Ending Page	720
Page Count	4
File Format	PDF HTM / HTML
DOI	10.1016/S0764-4442(00)88223-3
Alternate Webpage(s)	https://hal.archives-ouvertes.fr/hal-00276902/document
Alternate Webpage(s)	https://doi.org/10.1016/S0764-4442%2800%2988223-3
Volume Number	329
Language	English
Access Restriction	Open
Content Type	Text
Resource Type	Article

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