Barczy, Mátyás and Ben Alaya, Mohamed and Kebaier, Ahmed and Pap, Gyula (2019) Asymptotic properties of maximum likelihood estimator for the growth rate of a stable CIR process based on continuous time observations. STATISTICS, 53 (3). pp. 533-568. ISSN 0233-1888
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Abstract
We consider a stable Cox–Ingersoll–Ross process driven by a standard Wiener process and a spectrally positive strictly stable Lévy 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 behaviour of the MLE in question remains open.
Item Type: | Article |
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Uncontrolled Keywords: | stable Cox–Ingersoll–Ross process, maximum likelihood estimator, strong consistency, asymptotic mixed normality |
Subjects: | Q Science / természettudomány > QA Mathematics / matematika |
Depositing User: | Dr Mátyás Barczy |
Date Deposited: | 19 Sep 2019 08:33 |
Last Modified: | 06 Apr 2023 07:23 |
URI: | http://real.mtak.hu/id/eprint/99891 |
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