Parameter estimation for Cox–Ingersoll–Ross process with two-sided reflections

Yiwei Shi, Huisheng Shu, Chunyang Wang and Xuekang Zhang

Statistics & Probability Letters, 2025, vol. 221, issue C

Abstract: In this paper, the least squares estimator (LSE) for the Cox–Ingersoll–Ross process with two-sided reflections is investigated on the basis of continuous observations. The strong consistency and asymptotic normality of LSE are derived. Computer simulations and empirical analysis are performed to illustrate our theory. Moreover, we also express the regulators using local time process.

Keywords: Least squares estimator; Reflected Cox–Ingersoll–Ross process; Strong consistency; Asymptotic distribution; Local time (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:eee:stapro:v:221:y:2025:i:c:s0167715224003213

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DOI: 10.1016/j.spl.2024.110352

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