Statistical Inference in Cox-Ingersoll-Ross Model

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.