Inference in the stochastic Cox-Ingersol-Ross diffusion process with continuous sampling: Computational aspects and simulation

03/29/2021
by   Nafidi Ahmed, et al.
0

In this paper, we consider a stochastic model based on the Cox- Ingersoll- Ross model (CIR). The stochastic model is parameterized analytically by applying Itô's calculus and the trend functions of the proposed process is calculated. The parameter estimators are then derived by means of two procedures: the first is used to estimate the parameters in the drift coefficient by the maximum likelihood (ML) method, based on continuous sampling, and the second procedure approximates the diffusion coefficient by two methods. Finally, a simulation of the process is presented. Thus, a typical simulated trajectory of the process and its estimators is obtained.

READ FULL TEXT

Authors

page 1

page 2

page 3

page 4

06/17/2018

On Cusp Location Estimation for Perturbed Dynamical Systems

We consider the problem of parameter estimation in the case of observati...
02/24/2020

Adaptive and non-adaptive estimation for degenerate diffusion processes

We discuss parametric estimation of a degenerate diffusion system from t...
05/01/2021

Local Asymptotic Mixed Normality via Transition Density Approximation and an Application to Ergodic Jump-Diffusion Processes

We study sufficient conditions for local asymptotic mixed normality. We ...
12/03/2019

Statistical inference for fractional diffusion process with random effects at discrete observations

This paper deals with the problem of inference associated with linear fr...
05/28/2018

Inference for ergodic diffusions plus noise

We research adaptive maximum likelihood-type estimation for an ergodic d...
09/27/2021

Estimating the characteristics of stochastic damping Hamiltonian systems from continuous observations

We consider nonparametric invariant density and drift estimation for a c...
07/15/2019

Shadow Simulated Annealing algorithm: a new tool for global optimisation and statistical inference

This paper develops a new global optimisation method that applies to a f...
This week in AI

Get the week's most popular data science and artificial intelligence research sent straight to your inbox every Saturday.