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

DOI10.1080/15326349.2012.726042OpenAlexW2063001274MaRDI QIDQ3145420

Ahmed Kebaier, Mohamed Ben Alaya

Publication date: 20 December 2012

Published in: Stochastic Models (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/15326349.2012.726042

zbMATH Keywords

Laplace transformlimit theoremsparameter inferenceCox-Ingersoll-Ross processessimulation efficiencynonergodic diffusion

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Markov processes: estimation; hidden Markov models (62M05)

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