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Asymptotic properties of maximum likelihood estimator for the growth rate of a stable CIR process based on continuous time observations |
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| Authors: | Mátyás Barczy Mohamed Ben Alaya Ahmed Kebaier Gyula Pap |
| Institution: | 1. MTA-SZTE Analysis and Stochastics Research Group, Bolyai Institute, University of Szeged, Aradi vértanúk tere 1, H–6720 Szeged, Hungary;2. Laboratoire De Mathématiques Rapha?l Salem, UMR 6085, Université De Rouen, Saint-Etienne-Du-Rouvray, France;3. LAGA, CNRS, (UMR 7539), Université Paris 13, Sorbonne Paris Cité, 93430, Villetaneuse>4. , France;5. Bolyai Institute, University of Szeged, Aradi vértanúk tere 1, H–6720 Szeged, Hungary |
| Abstract: | |
| Keywords: | Stable Cox–Ingersoll–Ross process maximum likelihood estimator strong consistency asymptotic mixed normality |