STATISTICS ON CROSSINGS OF DISCRETIZED DIFFUSIONS AND LOCAL TIME

被引：6

作者：

FLORENSZMIROU, D

机构：

[1] Université de Paris IX-Dauphine, UA 743, CNRS, Statistique Appliquée, Place du Maréchal de Lattre de Tassigny

来源：

STOCHASTIC PROCESSES AND THEIR APPLICATIONS | 1991年 / 39卷 / 01期

关键词：

DIFFUSION; LOCAL TIME; CROSSING; ESTIMATION;

D O I：

10.1016/0304-4149(91)90038-E

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

Let X-DELTABAR 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 observations sgn X-DELTABAR. In the second part we prove that the number of zero-crossings of X-DELTABAR, suitably normalized, converges in (L2-norm) to the zero local time of X.

引用

页码：139 / 151

页数：13

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