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arXiv · 1605.01190

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

Xu Yang
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Abstract

A maximum likelihood type estimation of the drift and volatility coefficient parameters in the CIR type model driven by $\alpha$-stable noises is studied when the dispersion parameter $\varepsilon\to0$ and the discrete observations frequency $n\to\infty$ simultaneously.

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Xu Yang. 2016-05-04. Maximum likelihood type estimation for discretely observed CIR model with small $\alpha$-stable noises. https://arxiv.org/abs/1605.01190

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