Asymptotic properties of estimators in a stable Cox-Ingersoll-Ross model

DOI10.1016/j.spa.2015.03.002zbMath1362.62047arXiv1301.3243OpenAlexW2021087958MaRDI QIDQ2347462

Chunhua Ma, Zhenghu Li

Publication date: 27 May 2015

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1301.3243

zbMATH Keywords

exponential ergodicitybranching process with immigrationstable Cox-Ingersoll-Ross modelconditional least squares estimatorsstrong mixing propertyweighted conditional least squares estimators

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) Stable stochastic processes (60G52) Branching processes (Galton-Watson, birth-and-death, etc.) (60J80)

Related Items

Alpha-CIR model with branching processes in sovereign interest rate modeling ⋮ Almost sure, \(L_1\)- and \(L_2\)-growth behavior of supercritical multi-type continuous state and continuous time branching processes with immigration ⋮ Necessary and sufficient conditions for ergodicity of CIR model driven by stable processes with Markov switching ⋮ Statistical inference for critical continuous state and continuous time branching processes with immigration ⋮ Asymptotic behavior of maximum likelihood estimators for a jump-type Heston model ⋮ Continuous time mixed state branching processes and stochastic equations ⋮ Maximum likelihood type estimation for discretely observed CIR model with small \(\alpha\)-stable noises ⋮ Stochastic equation and exponential ergodicity in Wasserstein distances for affine processes ⋮ Ergodicity of CIR type SDEs driven by stable processes with random switching ⋮ Moments and ergodicity of the jump-diffusion CIR process ⋮ Exponential ergodicity for population dynamics driven by \(\alpha\)-stable processes ⋮ The least squares estimation for the \(\alpha\)-stable Ornstein-Uhlenbeck process with constant drift ⋮ Smoothness of continuous state branching with immigration semigroups ⋮ Coupling methods and exponential ergodicity for two‐factor affine processes ⋮ Regularity of transition densities and ergodicity for affine jump‐diffusions ⋮ The Alpha‐Heston stochastic volatility model ⋮ Two methods of estimation of the drift parameters of the Cox–Ingersoll–Ross process: Continuous observations ⋮ Wasserstein-type distances of two-type continuous-state branching processes in Lévy random environments ⋮ CBI-time-changed Lévy processes ⋮ Strong feller and ergodic properties of the (1+1)-affine process ⋮ Long-time behavior for subcritical measure-valued branching processes with immigration ⋮ Invariant measure of the backward Euler method for stochastic differential equations driven by α$$ \alpha $$‐stable process ⋮ Maximum likelihood estimation for stochastic Lotka-Volterra model with jumps ⋮ Least squares estimation for discretely observed stochastic Lotka-Volterra model driven by small \(\alpha \)-stable noises ⋮ Unnamed Item ⋮ Continuous-State Branching Processes with Immigration ⋮ Unnamed Item ⋮ Parameter estimation in two-type continuous-state branching processes with immigration ⋮ Parameter estimation for a subcritical affine two factor model ⋮ Asymptotic properties of maximum likelihood estimator for the growth rate for a jump-type CIR process based on continuous time observations ⋮ Parameter estimation for the discretely observed vasicek model with small fractional Lévy noise ⋮ Statistical inference of subcritical strongly stationary Galton-Watson processes with regularly varying immigration ⋮ Least squares estimators for stochastic differential equations driven by small Lévy noises ⋮ Asymptotic properties of maximum-likelihood estimators for Heston models based on continuous time observations ⋮ Asymptotic properties of maximum likelihood estimator for the growth rate of a stable CIR process based on continuous time observations ⋮ On a positivity preserving numerical scheme for jump-extended CIR process: the alpha-stable case ⋮ Exponential ergodicity for general continuous-state nonlinear branching processes ⋮ On the anisotropic stable JCIR process ⋮ Positive Harris recurrence and exponential ergodicity of the basic affine jump-diffusion ⋮ Multiple yield curve modelling with CBI processes ⋮ Continuous-state branching processes in Lévy random environments ⋮ A stable Cox-Ingersoll-Ross model with restart ⋮ Sample paths of continuous-state branching processes with dependent immigration ⋮ Exponential ergodicity of an affine two-factor model based on the α-root process ⋮ Least squares estimation for the linear self-repelling diffusion driven by \(\alpha \)-stable motions ⋮ Geometrical smeariness -- a new phenomenon of Fréchet means ⋮ Least-squares estimation for the subcritical Heston model based on continuous-time observations ⋮ Nonparametric Gaussian inference for stable processes ⋮ Ergodicity of affine processes on the cone of symmetric positive semidefinite matrices ⋮ Ergodicities and Exponential Ergodicities of Dawson--Watanabe Type Processes

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Stochastic equations, flows and measure-valued processes
• Modeling high-frequency financial data by pure jump processes
• Parameter estimation for a class of stochastic differential equations driven by small stable noises from discrete observations
• Estimation for discretely observed continuous state branching processes with immigration
• A functional limit theorem for dependent sequences with infinite variance stable limits
• Extremal behavior of stochastic integrals driven by regularly varying Lévy processes
• Catalytic discrete state branching models and related limit theorems
• Basic properties of strong mixing conditions. A survey and some open questions
• Regularly varying multivariate time series
• Some asymptotic results for the branching process with immigration
• Convergence to a stable distribution via order statistics
• A note on strong consistency of least squares estimators in regression models with martingale difference errors
• Estimation of the means in the branching process with immigration
• Asymptotic results for estimators in a subcritical branching process with immigration
• Correction to Asymptotic results for estimators in a subcritical branching process with immigration
• On conditional least squares estimation for stochastic processes
• Extremal behavior of diffusion models in finance
• The sample autocorrelations of heavy-tailed processes with applications to ARCH
• Stable limits for partial sums of dependent random variables
• Point process and partial sum convergence for weakly dependent random variables with infinite variance
• Stochastic equations of non-negative processes with jumps
• Extremal behavior of regularly varying stochastic processes
• Stable limits of martingale transforms with application to the estimation of GARCH parame\-ters
• Skew convolution semigroups and affine Markov processes
• Tails of solutions of certain nonlinear stochastic differential equations driven by heavy tailed Lévy motions.
• A Theory of the Term Structure of Interest Rates
• Measure-Valued Branching Markov Processes
• Self-Normalized Processes
• Point processes, regular variation and weak convergence
• Estimation for Continuous Branching Processes
• A time series approach to the study of the simple subcritical Galton–Watson process with immigration
• Notes on “Estimation theory for growth and immigration rates in a multiplicative process”
• Portfolio Analysis in a Stable Paretian Market
• Heavy-Tail Phenomena
• Estimation theory for growth and immigration rates in a multiplicative process
• Regularly varying functions