Estimation for the Discretely Observed Cox–Ingersoll–Ross Model Driven by Small Symmetrical Stable Noises

Abstract

This paper is concerned with the least squares estimation of drift parameters for the Cox–Ingersoll–Ross (CIR) model driven by small symmetrical α-stable noises from discrete observations. The contrast function is introduced to obtain the explicit formula of the estimators and the error of estimation is given. The consistency and the rate of convergence of the estimators are proved. The asymptotic distribution of the estimators is studied as well. Finally, some numerical calculus examples and simulations are given.