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
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