Bibliographic Details
| Title: |
Parameter Estimation for Cox-Ingersoll-Ross Model Driven by Liu process from Discrete Observations. |
| Authors: |
Wei, Chao1 aytongji@126.com, Hou, Mingxu2 915386317@qq.com, Wu, Mengjie2 3187453881@qq.com |
| Source: |
IAENG International Journal of Applied Mathematics. Jun2026, Vol. 56 Issue 6, p2371-2376. 6p. |
| Subjects: |
Parameter estimation, Least squares, Stochastic differential equations, Stochastic processes, Inferential statistics, Loss functions (Statistics), Asymptotic distribution |
| Abstract: |
Statistical inference plays a vital role in the application of uncertain differential equations. This paper formulates a parameter estimation problem for the Cox-Ingersoll-Ross model driven by Liu process, focusing on cases with a small dispersion coefficient based on discrete observations. To derive the least squares estimators, a contrast function is introduced. Additionally, the consistency and asymptotic distribution of the two estimators are established. [ABSTRACT FROM AUTHOR] |
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| Database: |
Engineering Source |
