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Jaya P. N. Bishwal, On the Kolmogorov distance for the estimators in the Cox-Ingersoll-Ross model, Eur. J. Math. Appl. 4 (2024), Article ID 22.

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Volume 4 (2024), Article ID 22

https://doi.org/10.28919/ejma.2024.4.22

Published: 24/09/2024

Abstract:

We study the bounds on the Kolmogorov distance of some new estimators of the Cox-Ingersoll-Ross model. First we obtain the rate of weak convergence of the distribution of the normalized minimum contrast estimator of the drift parameter based on continuous observation which are of theoretical interest. Then we obtain the rates of normal approximation of the normalized approximate minimum contrast estimators when the process is densely observed at discrete time points which are of practical interest in finance and biology. The approximation, which could have independent interest, is based on Hausdorff moment problem.

How to Cite:

Jaya P. N. Bishwal, On the Kolmogorov distance for the estimators in the Cox-Ingersoll-Ross model, Eur. J. Math. Appl. 4 (2024), Article ID 22. https://doi.org/10.28919/ejma.2024.4.22