Small noise fluctuations of the CIR model driven by -stable noises
DOI10.1016/J.SPL.2014.07.001zbMATH Open1320.60075OpenAlexW2074115508MaRDI QIDQ466985FDOQ466985
Authors: Chunhua Ma, Xu Yang 
Publication date: 3 November 2014
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spl.2014.07.001
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central limit theoremlarge deviationsmoderate deviationsleast squares estimator\(\alpha\)-stable noisesCox-Ingersoll-Ross model
Asymptotic properties of parametric estimators (62F12) Large deviations (60F10) Central limit and other weak theorems (60F05) Stable stochastic processes (60G52)
Cites Work
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- Approximate martingale estimating functions for stochastic differential equations with small noises
- Extremal behavior of stochastic integrals driven by regularly varying Lévy processes
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Cited In (11)
- Central limit theorem and moderate deviation principle for CKLS model with small random perturbation
- Least squares estimators for stochastic differential equations driven by small Lévy noises
- Hybrid estimators for small diffusion processes based on reduced data
- Least squares estimator for stochastic differential equations driven by small fractional Lévy noises from discrete observations
- Asymptotic properties of maximum likelihood estimator for the growth rate of a stable CIR process based on continuous time observations
- Maximum likelihood type estimation for discretely observed CIR model with small \(\alpha\)-stable noises
- Least squares estimator of Ornstein-Uhlenbeck processes driven by fractional Lévy processes with periodic mean
- Least squares estimator for Ornstein-Uhlenbeck processes driven by fractional Lévy processes from discrete observations
- Least squares estimator of fractional Ornstein-Uhlenbeck processes with periodic mean for general Hurst parameter
- Derivatives of intersection local time for two independent symmetric \(\alpha\)-stable processes
- Parameter estimation for the discretely observed vasicek model with small fractional Lévy noise
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