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

Autor:	Ahmed, Nafidi, Abdenbi, El Azri
Rok vydání:	2021
Předmět:	Statistics - Methodology Statistics - Other Statistics 60G05 60G07 60G55
Druh dokumentu:	Working Paper
Popis:	In this paper, we consider a stochastic model based on the Cox- Ingersoll- Ross model (CIR). The stochastic model is parameterized analytically by applying It\^o'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. Comment: 6 pages with 5 figures
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/2103.15678 Zobrazit plný text záznamu View this record from Arxiv