Cox-Ingersoll-Ross模型的统计推断
Statistical Inference in Cox-Ingersoll-Ross Model
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摘要: 本文研究了Cox—Ingersoll—Ross模型的统计推断问题.给出了CIR过程的平稳均值m与平稳方差v的矩估计,并利用m和v给出了CIR过程中尺度参数α与波动率β之间的关系,讨论了参数α的条件矩估计和渐近极大似然估计.并通过数值模拟对条件矩估计,渐近极大似然估计这两种方法作了比较.Abstract: In this paper, the problem of estimating coefficients in Cox-Ingersoll-Ross model are studied. The moment estimates of the equilibrium mean m and the equilibrium variance v of the CIR process is given. By assuming the parameters m and v " known ", the relation between the scale parameter α and the volatility β is obtained. The conditional moment estimate and the approximate maximum likelihood estimate are discussed. The comparing of two approach are given by simulation.