Discretization and Asymptotic Normality of Drift Parameters Estimator in the Cox-Ingersoll-Ross Model

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annif.suggestionsprobability calculation|estimating (statistical methods)|mathematics|mathematical models|stochastic processes|asymptote|econometrics|economic models|simulation|mathematical statistics|enen
annif.suggestions.linkshttp://www.yso.fi/onto/yso/p4746|http://www.yso.fi/onto/yso/p11349|http://www.yso.fi/onto/yso/p3160|http://www.yso.fi/onto/yso/p11401|http://www.yso.fi/onto/yso/p11400|http://www.yso.fi/onto/yso/p19463|http://www.yso.fi/onto/yso/p13480|http://www.yso.fi/onto/yso/p15699|http://www.yso.fi/onto/yso/p4787|http://www.yso.fi/onto/yso/p3590en
dc.contributor.authorPrykhodko, Olha
dc.contributor.authorRalchenko, Kostiantyn
dc.contributor.departmentfi=Ei tutkimusalustaa|en=No platform|-
dc.contributor.facultyfi=Tekniikan ja innovaatiojohtamisen yksikkö|en=School of Technology and Innovations|-
dc.contributor.orcidhttps://orcid.org/0000-0001-7208-3130-
dc.contributor.organizationfi=Vaasan yliopisto|en=University of Vaasa|
dc.date.accessioned2025-05-27T10:55:45Z
dc.date.accessioned2025-06-25T14:04:16Z
dc.date.available2025-05-27T10:55:45Z
dc.date.issued2025-01-05
dc.description.abstractThis 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.-
dc.description.notificationCopyright (c) 2025 Olha Prykhodko, Kostiantyn Ralchenko. This work is licensed under a Creative Commons Attribution 3.0 Unported License.-
dc.description.reviewstatusfi=vertaisarvioitu|en=peerReviewed|-
dc.format.bitstreamtrue
dc.format.contentfi=kokoteksti|en=fulltext|-
dc.format.extent18-
dc.format.pagerange82-99-
dc.identifier.olddbid23866
dc.identifier.oldhandle10024/19368
dc.identifier.urihttps://osuva.uwasa.fi/handle/11111/3273
dc.identifier.urnURN:NBN:fi-fe2025052755207-
dc.language.isoeng-
dc.publisherAustrian Statistical Society-
dc.relation.doi10.17713/ajs.v54i1.1968-
dc.relation.funderResearch Council of Finland-
dc.relation.grantnumber359815-
dc.relation.ispartofjournalAustrian Journal of Statistics-
dc.relation.issn1026-597X-
dc.relation.issue1-
dc.relation.urlhttps://doi.org/10.17713/ajs.v54i1.1968-
dc.relation.volume54-
dc.rightsCC BY 4.0-
dc.source.identifierWOS:001325926900001-
dc.source.identifier2-s2.0-85217442404-
dc.source.identifierhttps://osuva.uwasa.fi/handle/10024/19368
dc.subjectCIR model-
dc.subjectcontinuous observations-
dc.subjectdiscrete observations-
dc.subjectstrong consistency-
dc.subjectjoint asymptotic normality-
dc.subject.disciplinefi=Matematiikka|en=Mathematics|-
dc.titleDiscretization and Asymptotic Normality of Drift Parameters Estimator in the Cox-Ingersoll-Ross Model-
dc.type.okmfi=A1 Alkuperäisartikkeli tieteellisessä aikakauslehdessä|en=A1 Peer-reviewed original journal article|sv=A1 Originalartikel i en vetenskaplig tidskrift|-
dc.type.publicationarticle-
dc.type.versionpublishedVersion-

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