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

DOI10.1080/02331888.2019.1579216zbMath1440.62316arXiv1711.02140OpenAlexW2962989798WikidataQ128349113 ScholiaQ128349113MaRDI QIDQ5742595

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

Publication date: 15 May 2019

Published in: Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1711.02140

zbMATH Keywords

maximum likelihood estimatorstrong consistencyasymptotic mixed normalitystable Cox-Ingersoll-Ross process

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Central limit and other weak theorems (60F05) Markov processes: estimation; hidden Markov models (62M05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Interest rates, asset pricing, etc. (stochastic models) (91G30) Branching processes (Galton-Watson, birth-and-death, etc.) (60J80)

Related Items

Two methods of estimation of the drift parameters of the Cox–Ingersoll–Ross process: Continuous observations, Asymptotic properties of maximum likelihood estimator for the growth rate of a stable CIR process based on continuous time observations

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