Discretization and Asymptotic Normality of Drift Parameters Estimator in the Cox-Ingersoll-Ross Model
DOI:
https://doi.org/10.17713/ajs.v54i1.1968Abstract
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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Copyright (c) 2025 Olha Prykhodko, Kostiantyn Ralchenko
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