Rate of convergence of discretized drift parameters estimators in the Cox–Ingersoll

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Rate of convergence of discretized drift parameters estimators in the Cox–Ingersoll–Ross model

Published:2023-04-13 Issue: Volume: Page:1-23
ISSN:0361-0926
Container-title:Communications in Statistics - Theory and Methods
language:en
Short-container-title:Communications in Statistics - Theory and Methods

Author:

Chernova Oksana¹,Dehtiar Olena¹,Mishura Yuliya¹,Ralchenko Kostiantyn¹

Affiliation:

1. Faculty of Mechanics and Mathematics, Taras Shevchenko National University of Kyiv, Kyiv, Ukraine

Funder

Sydney Mathematical Research Institute

Swedish Foundation for Strategic Research

the Research Council of Norway

Publisher

Informa UK Limited

Subject

Statistics and Probability

Link

https://www.tandfonline.com/doi/pdf/10.1080/03610926.2023.2196591

Reference15 articles.

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

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

3. Estimation of ergodic square-root diffusion under high-frequency sampling

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

5. Maximum Likelihood Estimation of the Cox–Ingersoll–Ross Model Using Particle Filters

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1. Synthesis Weibull Stochastic Differential Equation: Properties and application;Scientific African;2024-01

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