A pathwise inference method for the parameters of diffusion terms
We consider inference of the parameters of the diffusion term for Cox-Ingersoll-Ross and similar processes with a power type dependence of the diffusion coefficient from the underlying process. We suggest some original pathwise estimates for this coefficient and for the power index based on an analy...
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| Format: | Journal Article |
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Taylor & Francis
2018
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| Online Access: | http://hdl.handle.net/20.500.11937/54610 |