Statistiques de diffusions et temps local

Danielle Florens-Zmirou

Annales de l'I.H.P. Probabilités et statistiques (1988)

  • Volume: 24, Issue: 1, page 99-130
  • ISSN: 0246-0203

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Florens-Zmirou, Danielle. "Statistiques de diffusions et temps local." Annales de l'I.H.P. Probabilités et statistiques 24.1 (1988): 99-130. <http://eudml.org/doc/77320>.

@article{Florens1988,
author = {Florens-Zmirou, Danielle},
journal = {Annales de l'I.H.P. Probabilités et statistiques},
keywords = {Lévy measure; local time; zero crossing times after excursions; quasi- likelihood; consistency; asymptotic normality},
language = {fre},
number = {1},
pages = {99-130},
publisher = {Gauthier-Villars},
title = {Statistiques de diffusions et temps local},
url = {http://eudml.org/doc/77320},
volume = {24},
year = {1988},
}

TY - JOUR
AU - Florens-Zmirou, Danielle
TI - Statistiques de diffusions et temps local
JO - Annales de l'I.H.P. Probabilités et statistiques
PY - 1988
PB - Gauthier-Villars
VL - 24
IS - 1
SP - 99
EP - 130
LA - fre
KW - Lévy measure; local time; zero crossing times after excursions; quasi- likelihood; consistency; asymptotic normality
UR - http://eudml.org/doc/77320
ER -

References

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  3. [3] D. Dacunha-Castelle et Florens-Zmirou, Estimation of the Coefficients of a Diffusion from Discrete Observations, Stochastics, 1986, vol. 19. Zbl0626.62085MR872464
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  10. [10] U. Küchler, On Sojourn Time, Excursion and Spectral Measures Connected with Quasi Diffusions, Preprint, n° 76, Humboldt-Universität Berlin, 1984. 
  11. [11] Y. Kutoyants, Parameter Estimation for Stochastic Processes, R. E. G. Helderman, 1984. Zbl0542.62073MR777685
  12. [12] V. Lanska, Minimum Contrast Estimation in Diffusion Processes, J. Appl. Prob., vol. 16, 1979, p. 65-75. Zbl0403.62060MR520937
  13. [13] G. Lindgren, Spectral Moment Estimation by Means of Level Crossings, Biometrika, vol. 61.3, 1974, p. 401. Zbl0292.62063MR426265
  14. [14] P. Mandl, Analytical Treatment of One Dimensional Markov Processes, Springer Verlag, 1968. Zbl0179.47802MR247667
  15. [15] J. Memin et A.N. Shiryayev, Distance of Hellinger-Kakutani des lois correspondantes à deux processus à accroissements indépendants, Zeit. Fur. Nahr, vol. 70, 1985, p. 67- 89. Zbl0569.60038MR795789
  16. [16] E.C. Titchmarsh, Eigenfunction Expansions Associated with Second Order Differential Equations, Oxford, 1946. Zbl0061.13505MR19765
  17. [17] A. Touati, Thèse, Univ. Paris-Nord, 1988 (à paraître). 

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