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

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.

Keywords:

• Skew Ornstein-Uhlenbeck process
• strong consistency
• asymptotic normality
• moment estimation
• invariant density

Additional information

Funding

Support by the National Natural Science Foundation of China (No. 11301133, No. 11471218 and 11201111).