Maximum likelihood type estimation for discretely observed CIR model with small -stable noises

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• 作者：Xu Yang ^{xuyang@mail.bnu.edu.cn" class="auth_mail" title="E-mail the corresponding author}
• 关键词：60G52 ; 62F12
• 刊名：Statistics & Probability Letters
• 出版年：2017
• 出版时间：January 2017
• 年：2017
• 卷：120
• 期：Complete
• 页码：18-27
• 全文大小：458 K

文摘

A maximum likelihood type estimation of the drift and volatility coefficient parameters in the CIR type model driven by source">α$\alpha$-stable noises is studied when the dispersion parameter source">ε→0$\epsilon \to 0$ and the discrete observations frequency source">n→∞$n\to \infty$ simultaneously.