Asymptotic Properties of A Pseudo-MLE for CIR Model

摘要：

This paper considers the parameter estimation of CIR process which is commonly used to model the dynamics of interest rates. We first obtain a pseudo-MLE by maximizing the log-likelihood function of the process discretized by Euler method. Then we develop the expansions for bias and variance of the estimators. Simulation studies confirm the theoretical findings.

关键词： CIR model pseudo-MLE Euler method bias

作者: Jingjing Cao Liangjian Hu

作者单位: Department of Applied Mathematics, Donghua University, Shanghai 201620, China

会议类型: 国际会议

会议名称: 2010 International Conference on Probability and Statistics of the International Institute for General Systems Studies(国际一般系统理论研究会中国概率统计学会第二届学术会议IIGSS-CPS2010)

会议地点: 南京

会议语种:英文

页码: 206-209

在线出版日期: 2010-07-29（万方平台首次上网日期，不代表论文的发表时间）