Rate of convergence of discretized drift parameters estimators in the Cox–Ingersoll–Ross model

Oksana Chernova, Olena Dehtiar, Yuliya Mishura and Kostiantyn Ralchenko

Communications in Statistics - Theory and Methods, 2024, vol. 53, issue 13, 4857-4879

Abstract: The article is devoted to the drift parameters estimation in the Cox–Ingersoll–Ross model. We obtain the rate of convergence in probability of the maximum likelihood estimators based on the continuous-time estimators. Then we introduce the discrete versions of these estimators and investigate their asymptotic behavior. In particular, we establish the conditions for weak and strong consistency, asymptotic normality, and get the rate of convergence in probability.

Date: 2024
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DOI: 10.1080/03610926.2023.2196591

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