Asymptotic properties of maximum likelihood estimator for the growth rate of a stable CIR process based on continuous time observations
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asymptotic mixed normalitymaximum likelihood estimatorstable Cox-Ingersoll-Ross processstrong consistency
Central limit and other weak theorems (60F05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Branching processes (Galton-Watson, birth-and-death, etc.) (60J80) Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) Interest rates, asset pricing, etc. (stochastic models) (91G30)
Abstract: We consider a stable Cox--Ingersoll--Ross process driven by a standard Wiener process and a spectrally positive strictly stable L'evy process, and we study asymptotic properties of the maximum likelihood estimator (MLE) for its growth rate based on continuous time observations. We distinguish three cases: subcritical, critical and supercritical. In all cases we prove strong consistency of the MLE in question, in the subcritical case asymptotic normality, and in the supercritical case asymptotic mixed normality are shown as well. In the critical case the description of the asymptotic behavior of the MLE in question remains open.
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Cited in
(12)- Asymptotic properties of maximum likelihood estimator for the growth rate for a jump-type CIR process based on continuous time observations
- Fixed relative precision estimators of growth rate for compound Poisson and Lévy processes
- Asymptotic properties of estimators in a stable Cox-Ingersoll-Ross model
- Asymptotic behavior of the maximum likelihood estimator for ergodic and nonergodic square-root diffusions
- Maximum likelihood type estimation for discretely observed CIR model with small \(\alpha\)-stable noises
- Local asymptotic properties for Cox-Ingersoll-Ross process with discrete observations
- Two methods of estimation of the drift parameters of the Cox–Ingersoll–Ross process: Continuous observations
- On the maximum likelihood estimator for irregularly observed time series data from COGARCH(1,1) models
- 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
- Estimation of a pure-jump stable Cox-Ingersoll-Ross process
- Local asymptotic properties for the growth rate of a jump-type CIR process
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