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Asymptotic properties of maximum likelihood estimator for the growth rate for a jump-type CIR process based on continuous time observations

Barczy, Mátyás and Ben Alaya, Mohamed and Kebaier, Ahmed and Pap, Gyula (2018) Asymptotic properties of maximum likelihood estimator for the growth rate for a jump-type CIR process based on continuous time observations. Stochastic Processes and their Applications, 128 (4). pp. 1135-1164.

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Abstract

We consider a jump-type Cox–Ingersoll–Ross (CIR) process driven by a standard Wiener process and a subordinator, and we study asymptotic properties of the maximum likelihood estimator (MLE) for its growth rate. We distinguish three cases: subcritical, critical and supercritical. In the subcritical case we prove weak consistency and asymptotic normality, and, under an additional moment assumption, strong consistency as well. In the supercritical case, we prove strong consistency and mixed normal (but non-normal) asymptotic behavior, while in the critical case, weak consistency and non-standard asymptotic behavior are described. We specialize our results to so-called basic affine jump–diffusions as well. Concerning the asymptotic behavior of the MLE in the supercritical case, we derive a stochastic representation of the limiting mixed normal distribution, where the almost sure limit of an appropriately scaled jump-type supercritical CIR process comes into play. This is a new phenomenon, compared to the critical case, where a diffusion-type critical CIR process plays a role.

Item Type: Article
Uncontrolled Keywords: Jump-type Cox–Ingersoll–Ross (CIR) process; Basic affine jump–diffusion (BAJD); Subordinator; Maximum likelihood estimator
Subjects: Q Science / természettudomány > QA Mathematics / matematika
Depositing User: Dr Mátyás Barczy
Date Deposited: 13 Sep 2018 09:20
Last Modified: 13 Sep 2018 09:20
URI: http://real.mtak.hu/id/eprint/83823

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