Parameter estimation for generalized Ait-Sahalia-type interest rate model

DOI10.1080/03610918.2021.1888121OpenAlexW3134861736MaRDI QIDQ6171889

Huisheng Shu, Xuekang Zhang

Publication date: 18 July 2023

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2021.1888121

zbMATH Keywords

ergodic theoremquadratic variationapproximate maximum likelihood estimationAit-Sahalia-type interest rate model

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

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• Parameter estimation in stochastic differential equations.
• Maximum likelihood estimation for continuous-time stochastic processes
• Estimating a class of diffusions from discrete observations via approximate maximum likelihood method
• Ergodicity of generalized Ait-Sahalia-type interest rate model
• Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach

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