Small noise fluctuations of the CIR model driven by α-stable noises

The central limit theorems, the deviation inequality (and large deviation), and the moderate deviations for least squares estimators of parameters in the CIR type model driven byα-stable noises are established when the dispersion parameter ε→0 and the discrete observation frequency k→∞ simultaneously.

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Year of publication:	2014
Authors:	Ma, Chunhua ; Yang, Xu
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 94.2014, C, p. 1-11
Publisher:	Elsevier
Subject:	Cox–Ingersoll–Ross model \| α-stable \| Least squares estimator \| Large deviation \| Moderate deviation \| Central limit theorem

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10011040090