Parameter Estimation for Cox-Ingersoll-Ross Model Driven by Liu process from Discrete Observations.
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| Title: | Parameter Estimation for Cox-Ingersoll-Ross Model Driven by Liu process from Discrete Observations. |
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| 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] |
| Copyright of IAENG International Journal of Applied Mathematics is the property of International Association of Engineers (IAENG) and its content may not be copied or emailed to multiple sites without the copyright holder's express written permission. Additionally, content may not be used with any artificial intelligence tools or machine learning technologies. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) | |
| Database: | Engineering Source |
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| Header | DbId: egs DbLabel: Engineering Source An: 194195926 AccessLevel: 6 PubType: Academic Journal PubTypeId: academicJournal PreciseRelevancyScore: 0 |
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| Items | – Name: Title Label: Title Group: Ti Data: Parameter Estimation for Cox-Ingersoll-Ross Model Driven by Liu process from Discrete Observations. – Name: Author Label: Authors Group: Au Data: <searchLink fieldCode="AR" term="%22Wei%2C+Chao%22">Wei, Chao</searchLink><relatesTo>1</relatesTo><i> aytongji@126.com</i><br /><searchLink fieldCode="AR" term="%22Hou%2C+Mingxu%22">Hou, Mingxu</searchLink><relatesTo>2</relatesTo><i> 915386317@qq.com</i><br /><searchLink fieldCode="AR" term="%22Wu%2C+Mengjie%22">Wu, Mengjie</searchLink><relatesTo>2</relatesTo><i> 3187453881@qq.com</i> – Name: TitleSource Label: Source Group: Src Data: <searchLink fieldCode="JN" term="%22IAENG+International+Journal+of+Applied+Mathematics%22">IAENG International Journal of Applied Mathematics</searchLink>. Jun2026, Vol. 56 Issue 6, p2371-2376. 6p. – Name: Subject Label: Subjects Group: Su Data: <searchLink fieldCode="DE" term="%22Parameter+estimation%22">Parameter estimation</searchLink><br /><searchLink fieldCode="DE" term="%22Least+squares%22">Least squares</searchLink><br /><searchLink fieldCode="DE" term="%22Stochastic+differential+equations%22">Stochastic differential equations</searchLink><br /><searchLink fieldCode="DE" term="%22Stochastic+processes%22">Stochastic processes</searchLink><br /><searchLink fieldCode="DE" term="%22Inferential+statistics%22">Inferential statistics</searchLink><br /><searchLink fieldCode="DE" term="%22Loss+functions+%28Statistics%29%22">Loss functions (Statistics)</searchLink><br /><searchLink fieldCode="DE" term="%22Asymptotic+distribution%22">Asymptotic distribution</searchLink> – Name: Abstract Label: Abstract Group: Ab Data: 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] – Name: AbstractSuppliedCopyright Label: Group: Ab Data: <i>Copyright of IAENG International Journal of Applied Mathematics is the property of International Association of Engineers (IAENG) and its content may not be copied or emailed to multiple sites without the copyright holder's express written permission. Additionally, content may not be used with any artificial intelligence tools or machine learning technologies. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract.</i> (Copyright applies to all Abstracts.) |
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| RecordInfo | BibRecord: BibEntity: Languages: – Code: eng Text: English PhysicalDescription: Pagination: PageCount: 6 StartPage: 2371 Subjects: – SubjectFull: Parameter estimation Type: general – SubjectFull: Least squares Type: general – SubjectFull: Stochastic differential equations Type: general – SubjectFull: Stochastic processes Type: general – SubjectFull: Inferential statistics Type: general – SubjectFull: Loss functions (Statistics) Type: general – SubjectFull: Asymptotic distribution Type: general Titles: – TitleFull: Parameter Estimation for Cox-Ingersoll-Ross Model Driven by Liu process from Discrete Observations. Type: main BibRelationships: HasContributorRelationships: – PersonEntity: Name: NameFull: Wei, Chao – PersonEntity: Name: NameFull: Hou, Mingxu – PersonEntity: Name: NameFull: Wu, Mengjie IsPartOfRelationships: – BibEntity: Dates: – D: 01 M: 06 Text: Jun2026 Type: published Y: 2026 Identifiers: – Type: issn-print Value: 19929978 Numbering: – Type: volume Value: 56 – Type: issue Value: 6 Titles: – TitleFull: IAENG International Journal of Applied Mathematics Type: main |
| ResultId | 1 |
