arbiter
JournalsPricingAccount

Optimal guaranteed estimation methods for the Cox–Ingersoll–Ross models

Mohamed Ben Alaya et al.

Stochastics: an international journal of probability and stochastic processes2025https://doi.org/10.1080/17442508.2025.2450219article
ABDC B
Weight
0.41

What the paper says

In this paper we study parameter estimation problems for the Cox-Ingersoll-Ross (CIR) processes. For the first time for such models sequential estimation procedures are proposed. In the non-asymptotic setting, the proposed sequential procedures provide the estimation with non-asymptotic fixed mean square accuracy. For the scalar parameter estimation problems non-asymptotic normality properties for the proposed estimators are established even in the cases when the classical non sequential maximum likelihood estimators can not be calculated. Moreover, the Laplace transformations for the mean observation durations are obtained. In the asymptotic setting, the limit forms for the mean observation durations are founded and it is shown, that the constructed sequential estimators uniformly converge in distribution to normal random variables. Then using the Local Asymptotic Normality (LAN) property it is obtained asymptotic sharp lower bound for the minimax risks in the class of all sequential procedures with the same mean observation duration and as consequence, it is established, that the proposed sequential procedures are optimal in the minimax sens in this class.

2 citations

Open paper page →

Cite this paper

https://doi.org/https://doi.org/10.1080/17442508.2025.2450219

Or copy a formatted citation

@article{mohamed2025,
  title        = {{Optimal guaranteed estimation methods for the Cox–Ingersoll–Ross models}},
  author       = {Mohamed Ben Alaya et al.},
  journal      = {Stochastics: an international journal of probability and stochastic processes},
  year         = {2025},
  doi          = {https://doi.org/https://doi.org/10.1080/17442508.2025.2450219},
}

Paste directly into BibTeX, Zotero, or your reference manager.

Flag this paper

Optimal guaranteed estimation methods for the Cox–Ingersoll–Ross models

Flags are reviewed by the Arbiter methodology team within 5 business days.

Evidence weight

0.41

Balanced mode · F 0.40 / M 0.15 / V 0.05 / R 0.40

F · citation impact0.25 × 0.4 = 0.10
M · momentum0.55 × 0.15 = 0.08
V · venue signal0.50 × 0.05 = 0.03
R · text relevance †0.50 × 0.4 = 0.20

† Text relevance is estimated at 0.50 on the detail page — for your query’s actual relevance score, open this paper from a search result.