Is a Brownian skew?

Details Is a Brownian skew? Is a Brownian skew?

2011-01-05

arxiv.org/abs/1101.0933v1

Mathematics

Probability

26 pages, 8 figures

Scientific paper

We study the asymptotic behavior of the maximum likelihood estimator corresponding to the observation of a trajectory of a Skew Brownian motion, through a uniform time discretization. We characterize the speed of convergence and the limiting distribution when the step size goes to zero, which in this case are non-classical, under the null hypothesis of the Skew Brownian motion being an usual Brownian motion. This allows to design a test on the skewness parameter. We show that numerical simulations that can be easily performed to estimate the skewness parameter, and provide an application in Biology.

Affiliated with

Also associated with

No associations

Rating

Is a Brownian skew? does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Is a Brownian skew?, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Is a Brownian skew? will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-266748