Small noise fluctuations of the CIR model driven by \(\alpha\)-stable noises

DOI10.1016/j.spl.2014.07.001zbMath1320.60075OpenAlexW2074115508MaRDI QIDQ466985

Xu Yang, Chunhua Ma

Publication date: 3 November 2014

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2014.07.001

zbMATH Keywords

central limit theoremlarge deviationsleast squares estimatormoderate deviationsCox-Ingersoll-Ross model\(\alpha\)-stable noises

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Central limit and other weak theorems (60F05) Large deviations (60F10) Stable stochastic processes (60G52)

Related Items (9)

Maximum likelihood type estimation for discretely observed CIR model with small \(\alpha\)-stable noises ⋮ Least squares estimator of Ornstein-Uhlenbeck processes driven by fractional Lévy processes with periodic mean ⋮ Parameter estimation for the discretely observed vasicek model with small fractional Lévy noise ⋮ Least squares estimators for stochastic differential equations driven by small Lévy noises ⋮ Asymptotic properties of maximum likelihood estimator for the growth rate of a stable CIR process based on continuous time observations ⋮ Hybrid estimators for small diffusion processes based on reduced data ⋮ Least squares estimator for stochastic differential equations driven by small fractional Lévy noises from discrete observations ⋮ Least squares estimator of fractional Ornstein-Uhlenbeck processes with periodic mean for general Hurst parameter ⋮ Least squares estimator for Ornstein-Uhlenbeck processes driven by fractional Lévy processes from discrete observations

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