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Symmetry
Volume 12
Issue 3
10.3390/sym12030327
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Article

Estimation for the Discretely Observed Cox–Ingersoll–Ross Model Driven by Small Symmetrical Stable Noises

by
Chao Wei
School of Mathematics and Statistics, Anyang Normal University, Anyang 455000, China
Symmetry 2020, 12(3), 327; https://doi.org/10.3390/sym12030327
Submission received: 30 December 2019 / Revised: 25 January 2020 / Accepted: 6 February 2020 / Published: 25 February 2020
(This article belongs to the Special Issue Advances in Stochastic Differential Equations)
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Abstract

This paper is concerned with the least squares estimation of drift parameters for the Cox–Ingersoll–Ross (CIR) model driven by small symmetrical α-stable noises from discrete observations. The contrast function is introduced to obtain the explicit formula of the estimators and the error of estimation is given. The consistency and the rate of convergence of the estimators are proved. The asymptotic distribution of the estimators is studied as well. Finally, some numerical calculus examples and simulations are given.
Keywords: least squares estimator; Cox–Ingersoll–Ross model; small symmetrical α-stable noises; consistency; asymptotic distribution least squares estimator; Cox–Ingersoll–Ross model; small symmetrical α-stable noises; consistency; asymptotic distribution

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MDPI and ACS Style

Wei, C. Estimation for the Discretely Observed Cox–Ingersoll–Ross Model Driven by Small Symmetrical Stable Noises. Symmetry 2020, 12, 327. https://doi.org/10.3390/sym12030327

AMA Style

Wei C. Estimation for the Discretely Observed Cox–Ingersoll–Ross Model Driven by Small Symmetrical Stable Noises. Symmetry. 2020; 12(3):327. https://doi.org/10.3390/sym12030327

Chicago/Turabian Style

Wei, Chao. 2020. "Estimation for the Discretely Observed Cox–Ingersoll–Ross Model Driven by Small Symmetrical Stable Noises" Symmetry 12, no. 3: 327. https://doi.org/10.3390/sym12030327

APA Style

Wei, C. (2020). Estimation for the Discretely Observed Cox–Ingersoll–Ross Model Driven by Small Symmetrical Stable Noises. Symmetry, 12(3), 327. https://doi.org/10.3390/sym12030327

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