Asymptotic properties of maximum likelihood estimator for the growth rate for a jump-type CIR process based on continuous time observations

DOI10.1016/j.spa.2017.07.004zbMath1390.60307arXiv1609.05865OpenAlexW3021720664MaRDI QIDQ1743339

Ahmed Kebaier, Ben Mohamed Alaya, Gyula Pap, Mátyás Barczy

Publication date: 13 April 2018

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1609.05865

zbMATH Keywords

subordinatormaximum likelihood estimatorbasic affine jump-diffusion (BAJD)jump-type Cox-Ingersoll-Ross (CIR) process

Mathematics Subject Classification ID

Related Items (7)

Asymptotic behavior of maximum likelihood estimators for a jump-type Heston model ⋮ Stochastic equation and exponential ergodicity in Wasserstein distances for affine processes ⋮ Limit theorems for continuous-state branching processes with immigration ⋮ Moments and ergodicity of the jump-diffusion CIR process ⋮ On conditional least squares estimation for affine diffusions based on continuous time observations ⋮ Maximum likelihood estimation for stochastic Lotka-Volterra model with jumps ⋮ Asymptotic properties of maximum likelihood estimator for the growth rate for a jump-type CIR process based on continuous time observations

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