Estimation and testing in generalized CIR model

DOI10.1214/25-AAP2174MaRDI QIDQ6927574zbMATH OpenFDO

Authors Yunhong Lyu, Sévérien Nkurunziza

Publication date 18 September 2025

Published in The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1214/25-AAP2174

zbMATH Keywords

ergodicitygeneralized CIR modelhypothesis testingparameter estimationstrictly stationary process

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Generalized stochastic processes (60G20) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Inference from stochastic processes and prediction (62M20) Financial applications of other theories (91G80)

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