Discretization and Asymptotic Normality of Drift Parameters Estimator in the Cox-Ingersoll-Ross Model
This paper investigates the simultaneous estimation of two drift parameters of a Cox-Ingersoll-Ross (CIR) model, for which observations can be made either continuously or at discrete time instants. For continuous-time observations, we establish the joint asymptotic normality of the strongly consist...
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| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Austrian Statistical Society
2025-01-01
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| Series: | Austrian Journal of Statistics |
| Online Access: | https://www.ajs.or.at/index.php/ajs/article/view/1968 |
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| Summary: | This paper investigates the simultaneous estimation of two drift parameters of a Cox-Ingersoll-Ross (CIR) model, for which observations can be made either continuously or at discrete time instants. For continuous-time observations, we establish the joint asymptotic normality of the strongly consistent parameter estimators introduced in Dehtiar et al. (Comm. Statist. Theory Methods, 51(19):6818–6833, 2022). Additionally, we study the discrete counterparts of these estimators and prove their strong consistency and joint asymptotic normality.
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| ISSN: | 1026-597X |