Small noise fluctuations of the CIR model driven by \(\alpha\)-stable noises
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Publication:466985
DOI10.1016/j.spl.2014.07.001zbMath1320.60075OpenAlexW2074115508MaRDI QIDQ466985
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
central limit theoremlarge deviationsleast squares estimatormoderate deviationsCox-Ingersoll-Ross model\(\alpha\)-stable noises
Asymptotic properties of parametric estimators (62F12) Central limit and other weak theorems (60F05) Large deviations (60F10) Stable stochastic processes (60G52)
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