1. Estimation for the Discretely Observed Cox–Ingersoll–Ross Model Driven by Small Symmetrical Stable Noises
- Author
-
Chao Wei
- Subjects
Statistics::Theory ,Physics and Astronomy (miscellaneous) ,Quantitative Biology::Tissues and Organs ,General Mathematics ,Asymptotic distribution ,02 engineering and technology ,01 natural sciences ,010104 statistics & probability ,Consistency (statistics) ,0202 electrical engineering, electronic engineering, information engineering ,Computer Science (miscellaneous) ,Applied mathematics ,cox–ingersoll–ross model ,0101 mathematics ,asymptotic distribution ,Mathematics ,Estimation ,consistency ,lcsh:Mathematics ,Estimator ,least squares estimator ,lcsh:QA1-939 ,small symmetrical-stable noises ,Cox–Ingersoll–Ross model ,Rate of convergence ,Chemistry (miscellaneous) ,020201 artificial intelligence & image processing ,small symmetrical α-stable noises - Abstract
This paper is concerned with the least squares estimation of drift parameters for the Cox&ndash, Ingersoll&ndash, Ross (CIR) model driven by small symmetrical -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.
- Published
- 2020