179 citations · 335 across the 13 of their papers we have counts for
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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…
math.ST2022
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…
math.ST2008★ 12 cited
Estimation of the Brownian dimension of a continuous Itô process
Jean Jacod, Antoine Lejay, Denis Talay
In this paper, we consider a -dimensional continuous Itô process which is observed at regularly spaced times on a given time interval . This process is driven by a mu…