Parameter Estimation for the Square-root Diffusions : Ergodic and Nonergodic Cases

Mohamed Ben Alaya (1) , Ahmed Kebaier (1)

1 LAGA - Laboratoire Analyse, Géométrie et Applications

This paper deals with the problem of parameter estimation in the Cox-Ingersoll-Ross (CIR) model $(X_t)_{t\geq 0}$. This model is frequently used in finance for example as a model for computing the zero-coupon bound price or as a dynamic of the volatility in the Heston model. When the diffusion parameter is known, the maximum likelihood estimator (MLE) of the drift parameters involves the quantities : $\int_{0}^{t}X_sds$ and $\int_{0}^{t}\frac{ds}{X_s}$. At first, we study the asymptotic behavior of these processes. This allows us to obtain various and original limit theorems on our estimators, with different rates and different types of limit distributions. Our results are obtained for both cases : ergodic and nonergodic diffusion. Numerical simulations were processed using an exact simulation algorithm.

Mots clés: Cox-Ingersoll-Ross processes; Nonergodic diffusion; Laplace transform; Limit theorems; Parameter inference; Simulation efficiency : Exact methods.; Simulation efficiency : Exact methods

Domaines: Probabilités [math.PR]; Statistiques [math.ST]; Théorie [stat.TH]

Mohamed Ben Alaya, Ahmed Kebaier. Parameter Estimation for the Square-root Diffusions : Ergodic and Nonergodic Cases. 2010. ⟨hal-00579644⟩