Statistics on crossings of discretized diffusions and local time

D. Florens-Zmirou

Stochastic Processes and their Applications, 1991, vol. 39, issue 1, 139-151

Abstract: Let X[Delta] be the process obtained by linear interpolation from discrete observations of a diffusion X. In the first part of this paper we study the statistical properties of the observation sgn X[Delta]. In the second part we prove that the number of zero-crossings of X[Delta], suitably normalized, converges in (L2-norm) to the zero local time of X.

Keywords: diffusion; local; time; crossings; estimation (search for similar items in EconPapers)
Date: 1991
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