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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| Format: | Article |
| Language: | English |
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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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| author | Olha Prykhodko Kostiantyn Ralchenko |
| author_facet | Olha Prykhodko Kostiantyn Ralchenko |
| author_sort | Olha Prykhodko |
| collection | DOAJ |
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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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| format | Article |
| id | doaj-art-a8bc0a521b0f4574aa058f1a83843047 |
| institution | Kabale University |
| issn | 1026-597X |
| language | English |
| publishDate | 2025-01-01 |
| publisher | Austrian Statistical Society |
| record_format | Article |
| series | Austrian Journal of Statistics |
| spelling | doaj-art-a8bc0a521b0f4574aa058f1a838430472025-01-13T07:12:22ZengAustrian Statistical SocietyAustrian Journal of Statistics1026-597X2025-01-0154110.17713/ajs.v54i1.1968Discretization and Asymptotic Normality of Drift Parameters Estimator in the Cox-Ingersoll-Ross ModelOlha PrykhodkoKostiantyn Ralchenko 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. https://www.ajs.or.at/index.php/ajs/article/view/1968 |
| spellingShingle | Olha Prykhodko Kostiantyn Ralchenko Discretization and Asymptotic Normality of Drift Parameters Estimator in the Cox-Ingersoll-Ross Model Austrian Journal of Statistics |
| title | Discretization and Asymptotic Normality of Drift Parameters Estimator in the Cox-Ingersoll-Ross Model |
| title_full | Discretization and Asymptotic Normality of Drift Parameters Estimator in the Cox-Ingersoll-Ross Model |
| title_fullStr | Discretization and Asymptotic Normality of Drift Parameters Estimator in the Cox-Ingersoll-Ross Model |
| title_full_unstemmed | Discretization and Asymptotic Normality of Drift Parameters Estimator in the Cox-Ingersoll-Ross Model |
| title_short | Discretization and Asymptotic Normality of Drift Parameters Estimator in the Cox-Ingersoll-Ross Model |
| title_sort | discretization and asymptotic normality of drift parameters estimator in the cox ingersoll ross model |
| url | https://www.ajs.or.at/index.php/ajs/article/view/1968 |
| work_keys_str_mv | AT olhaprykhodko discretizationandasymptoticnormalityofdriftparametersestimatorinthecoxingersollrossmodel AT kostiantynralchenko discretizationandasymptoticnormalityofdriftparametersestimatorinthecoxingersollrossmodel |