Fast maximum likelihood estimation of parameters for square root and Bessel processes

DOI10.1515/snde-2019-0079OpenAlexW3047700829MaRDI QIDQ2700562

Kevin Fergusson

Publication date: 27 April 2023

Published in: Studies in Nonlinear Dynamics and Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/snde-2019-0079

zbMATH Keywords

maximum likelihood estimationBessel processCox-Ingersoll-Ross modelsquared Bessel process

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

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