Two methods of estimation of the drift parameters of the Cox–Ingersoll–Ross process: Continuous observations-Reference-Cited by-同舟云学术

Two methods of estimation of the drift parameters of the Cox–Ingersoll–Ross process: Continuous observations

Published:2021-01-06 Issue: Volume: Page:1-16
ISSN:0361-0926
Container-title:Communications in Statistics - Theory and Methods
language:en
Short-container-title:Communications in Statistics - Theory and Methods

Author:

Dehtiar Olena¹,Mishura Yuliya¹^ORCID,Ralchenko Kostiantyn¹^ORCID

Affiliation:

1. Department of Probability, Statistics and Actuarial Mathematics, Mechanics and Mathematics Faculty, Taras Shevchenko National University of Kyiv, Kiev, Ukraine

Funder

National Research Fund of Ukraine

Publisher

Informa UK Limited

Subject

Statistics and Probability

Link

https://www.tandfonline.com/doi/pdf/10.1080/03610926.2020.1866611

Reference21 articles.

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

2. Drift parameter estimation in stochastic differential equation with multiplicative stochastic volatility

3. Parameter Estimation for the Square-Root Diffusions: Ergodic and Nonergodic Cases

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

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1. Rate of convergence of discretized drift parameters estimators in the Cox–Ingersoll–Ross model;Communications in Statistics - Theory and Methods;2023-04-13

2. Parameter estimation in CKLS model by continuous observations;Statistics & Probability Letters;2022-05