Asymptotic Behavior of the Maximum Likelihood Estimator for Ergodic and Nonergodic Square-Root Diffusions

DOI10.1080/07362994.2013.798175zbMath1381.60111OpenAlexW1972509808MaRDI QIDQ2844026

Mohamed Ben Alaya, Ahmed Kebaier

Publication date: 27 August 2013

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

Full work available at URL: https://doi.org/10.1080/07362994.2013.798175

zbMATH Keywords

Laplace transformlimit theoremsparameter inferenceCox-Ingersoll-Ross processesnonergodic diffusion

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Central limit and other weak theorems (60F05) Diffusion processes (60J60)

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• Estimation for Continuous Branching Processes
• A decomposition of Bessel Bridges
• Estimation of an Ergodic Diffusion from Discrete Observations
• Maximnm contrast estimation for diffusion processes from discrete observations

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