5 citations · 19 across the 13 of their papers we have counts for
4 papers · 1 filter
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…
Estimation of parameters and local times in a discretely observed threshold diffusion model
Sara Mazzonetto, Paolo Pigato
We consider a simple mean reverting diffusion process, with piecewise constant drift and diffusion coefficients, discontinuous at a fixed threshold. We discuss estimation of drift…
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…
Beyond the delta method
Antoine Lejay, Sara Mazzonetto
We give an asymptotic development of the maximum likelihood estimator (MLE), or any other estimator defined implicitly, in a way which involves the limiting behavior of the score a…