Estimation du paramètre de dérive d'une diffusion sous des conditions d'irrégularité de la dérive.
Résumé
We consider a diffusion model for which the drift b is Lipschitz continuous on R but its derivative is not continuous in ro. Our aim is to estimate this threshold parameter from discrete observations at step h_n of the stationary and ergodic process. The least squares method based on the approximate discrete-time Euler's scheme provides a consistent estimator when n*h_n goes to infinity and h_n to 0 . Moreover if n*(h_n)**3 goes to 0, this estimator is asymptotically normal with a standard rate.
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