2 papers
math.ST2025
Parameters estimation of a Threshold Chan-Karolyi-Longstaff-Sanders process from continuous and discrete observations
Sara Mazzonetto, Benoît Nieto
We consider a continuous time process that is self-exciting and ergodic, called threshold Chan-Karolyi-Longstaff-Sanders (CKLS) process. This process is a generalization of various…
math.ST2023
Maximum likelihood estimator for skew Brownian motion: the convergence rate
Antoine Lejay, Sara Mazzonetto
We give a thorough description of the asymptotic property of the maximum likelihood estimator (MLE) of the skewness parameter of a Skew Brownian Motion (SBM). Thanks to recent resu…