Inference in the stochastic Cox-Ingersol-Ross diffusion process with continuous sampling: Computational aspects and simulation

Nafidi Ahmed; El Azri Abdenbi

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arXiv · 2103.15678

Inference in the stochastic Cox-Ingersol-Ross diffusion process with continuous sampling: Computational aspects and simulation

Nafidi Ahmed·El Azri Abdenbi

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Abstract

In this paper, we consider a stochastic model based on the Cox- Ingersoll- Ross model (CIR). The stochastic model is parameterized analytically by applying It\^o's calculus and the trend functions of the proposed process is calculated. The parameter estimators are then derived by means of two procedures: the first is used to estimate the parameters in the drift coefficient by the maximum likelihood (ML) method, based on continuous sampling, and the second procedure approximates the diffusion coefficient by two methods. Finally, a simulation of the process is presented. Thus, a typical simulated trajectory of the process and its estimators is obtained.

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BibTeX RIS

Nafidi Ahmed, El Azri Abdenbi. 2021-03-29. Inference in the stochastic Cox-Ingersol-Ross diffusion process with continuous sampling: Computational aspects and simulation. https://arxiv.org/abs/2103.15678

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