Parameter estimation for generalized Ait-Sahalia-type interest rate model

被引：1
|
作者：
Zhang, Xuekang [1 ]
Shu, Huisheng [2 ]
机构：
[1] Anhui Polytech Univ, Sch Math Phys & Finance, Wuhu, Anhui, Peoples R China
[2] Donghua Univ, Coll Sci, Shanghai 201620, Peoples R China
来源：
COMMUNICATIONS IN STATISTICS-SIMULATION AND COMPUTATION | 2023年 / 52卷 / 04期
基金：
中国国家自然科学基金;
关键词：
Ait-Sahalia-type interest rate model; Approximate maximum likelihood estimation; Ergodic theorem; Quadratic variation;
D O I：
10.1080/03610918.2021.1888121
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
This paper is concerned with the parameter estimation problem for generalized Ait-Sahalia-type interest rate model based on discrete observation. The parameter estimators are obtained by applying the approximate maximum likelihood estimation, ergodic theorem and properties of quadratic variation. The strong consistency property of parameter estimators is proved by using the law of large numbers for martingales and properties of quadratic covariation. Computer simulations are performed to illustrate our theory.
引用
收藏
页码：1630 / 1638
页数：9
相关论文
共 50 条
  • [11] On the Analysis of Ait-Sahalia-Type Model for Rough Volatility Modelling
    Emmanuel Coffie
    Xuerong Mao
    Frank Proske
    Journal of Theoretical Probability, 2024, 37 : 744 - 767
  • [12] On the Analysis of Ait-Sahalia-Type Model for Rough Volatility Modelling
    Coffie, Emmanuel
    Mao, Xuerong
    Proske, Frank
    JOURNAL OF THEORETICAL PROBABILITY, 2024, 37 (01) : 744 - 767
  • [13] Positivity-preserving truncated Euler–Maruyama method for generalised Ait-Sahalia-type interest model
    Shounian Deng
    Chen Fei
    Weiyin Fei
    Xuerong Mao
    BIT Numerical Mathematics, 2023, 63
  • [14] Tail probabilities of solutions to a generalized Ait-Sahalia interest rate model
    Nguyen Tien Dung
    STATISTICS & PROBABILITY LETTERS, 2016, 112 : 98 - 104
  • [15] Positivity-preserving truncated Euler-Maruyama method for generalised Ait-Sahalia-type interest model
    Deng, Shounian
    Fei, Chen
    Fei, Weiyin
    Mao, Xuerong
    BIT NUMERICAL MATHEMATICS, 2023, 63 (04)
  • [16] First order strong approximation of Ait–Sahalia-type interest rate model with Poisson jumps
    Ziyi Lei
    Siqing Gan
    Jing Liu
    Numerical Algorithms, 2023, 94 : 93 - 130
  • [17] Unconditionally positivity-preserving approximations of the Ait-Sahalia type model: Explicit Milstein-type schemes
    Jiang, Yingsong
    Liu, Ruishu
    Wang, Xiaojie
    Zhuo, Jinghua
    NUMERICAL ALGORITHMS, 2024, : 1985 - 2003
  • [18] Rate data and material model parameter estimation
    Fossum, AF
    JOURNAL OF ENGINEERING MATERIALS AND TECHNOLOGY-TRANSACTIONS OF THE ASME, 1998, 120 (01): : 7 - 12
  • [19] Estimation of the killing rate parameter in a diffusion model
    Horvat-Bokor, Roza
    Huzak, Miljenko
    Limic, Nedzad
    MATHEMATICAL COMMUNICATIONS, 2012, 17 (01) : 171 - 185
  • [20] RANDOM VARIABILITY AND PARAMETER ESTIMATION FOR GENERALIZED PRODUCTION MODEL
    FOX, WW
    FISHERY BULLETIN OF THE NATIONAL OCEANIC AND ATMOSPHERIC ADMINISTRATION, 1971, 69 (03): : 569 - &
12345