Parameter estimation in CKLS model by continuous observations

Yuliya Mishura, Kostiantyn Ralchenko and Olena Dehtiar

Statistics & Probability Letters, 2022, vol. 184, issue C

Abstract: We consider a stochastic differential equation of the form drt=(a−brt)dt+σrtβdWt, where a, b and σ are positive constants, β∈(12,1). We study the estimation of an unknown drift parameter (a,b) by continuous observations of a sample path {rt,t∈[0,T]}. We prove the strong consistency and asymptotic normality of the maximum likelihood estimator. We propose another strongly consistent estimator, which generalizes an estimator proposed in Dehtiar et al. (2021) for β=12. The identification of the diffusion parameters σ and β is discussed as well.

Keywords: CKLS model; Continuous observations; Parameter estimation; Strong consistency; Asymptotic normality (search for similar items in EconPapers)
Date: 2022
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DOI: 10.1016/j.spl.2022.109391

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