Parameter Estimation for Discretely Observed Cox-Ingersoll-Ross Model with Small Levy Noises

This paper is concerned with the parameter estimation problem for Cox-Ingersoll-Ross model with small Levy noises from discrete observations. The least squares method is used to obtain the parameter estimators and the explicit formula of the estimation error is given. The consistency of the estimators are derived when a small dispersion coefficient epsilon -> 0 and n -> infinity simultaneously by using Cauchy-Schwarz inequality, Gronwall's inequality, Markov inequality and dominated convergence. The asymptotic distribution of the estimation error is studied. The simulation is made to verify the effectiveness of the least squares estimators.