Maximum likelihood type estimation for discretely observed CIR model with small α-stable noises
classification
🧮 math.PR
keywords
typealphaestimationlikelihoodmaximummodelnoisesstable
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A maximum likelihood type estimation of the drift and volatility coefficient parameters in the CIR type model driven by $\alpha$-stable noises is studied when the dispersion parameter $\varepsilon\to0$ and the discrete observations frequency $n\to\infty$ simultaneously.
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