Parameter estimation for the skew Ornstein-Uhlenbeck processes based on discrete observations

Xiaoyu Xing, Danfeng Zhao and Bing Li

Communications in Statistics - Theory and Methods, 2020, vol. 49, issue 9, 2176-2188

Abstract: In this paper, the drift parameter estimation for the one-dimensional skew Ornstein-Uhlenbeck process is considered. We derived the moment estimator in terms of the sample moments and invariant density. Then, we proved the strong consistency and asymptotic normality. Finally, some numerical experiments are presented to show the effect of the moment estimator.

Date: 2020
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DOI: 10.1080/03610926.2019.1568490

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