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

Symmetry

Chao Wei¹ 

[1] School of Mathematics and Statistics, Anyang Normal University, Anyang 455000, China;

关键词: least squares estimator;    cox–ingersoll–ross model;    small symmetrical α-stable noises;    consistency;    asymptotic distribution;   

DOI  :  10.3390/sym12030327

来源: DOAJ

【 摘 要 】

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.

【 授权许可】

Unknown