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Research Article | Open Access

Parameter estimation for discretely observed Cox–Ingersoll–Ross model driven by fractional Lévy processes

Jiangrui Ding1( ), Chao Wei2
Department of Mathematics, North China Electric Power University, Beijing 102200, China
Department of Mathematics, Anyang Normal University, Anyang 455000, China
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Abstract

This paper deals with least squares estimation for the Cox–Ingersoll–Ross model with fractional Lévy noise from discrete observations. The contrast function is given to obtain the least squares estimators. The consistency and asymptotic distribution of estimators are derived when a small dispersion coefficient ε → 0, n → ∞, ε n 1 2 − d → 0, and n ε → ∞ simultaneously.

Keywords

least squares estimationCox–Ingersoll–Ross modelfractional Lévy noiseconsistencyasymptotic distribution
CLC number: 62E20, 62F03, 62F12, 62P05, 62P20

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AIMS Mathematics
Volume 8 Issue 5,
May 2023
Pages 12168-12184
DOI: 10.3934/math.2023613

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Cite this article:
Ding J, Wei C. Parameter estimation for discretely observed Cox–Ingersoll–Ross model driven by fractional Lévy processes. AIMS Mathematics, 2023, 8(5): 12168-12184. https://doi.org/10.3934/math.2023613

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Received: 29 January 2023
Revised: 03 March 2023
Accepted: 17 March 2023
Published: 15 May 2023
©2023 the Author(s), licensee AIMS Press.

This is an open access article distributed under the terms of the Creative Commons Attribution License (https://creativecommons.org/licenses/by/4.0)