Abstract
The article is devoted to the drift parameters estimation in the Cox–Ingersoll–Ross model. We obtain the rate of convergence in probability of the maximum likelihood estimators based on the continuous-time estimators. Then we introduce the discrete versions of these estimators and investigate their asymptotic behavior. In particular, we establish the conditions for weak and strong consistency, asymptotic normality, and get the rate of convergence in probability.
Acknowledgments
The authors are grateful to the anonymous referee for valuable comments and suggestions. Kostiantyn Ralchenko is grateful to his hosts at Macquarie University, where he was a Visiting Fellow sponsored by Sydney Mathematical Research Institute (SMRI).