Parameter estimation for generalized Ait-Sahalia-type interest rate model.
- Resource Type
- Article
- Authors
- Zhang, Xuekang; Shu, Huisheng
- Source
- Communications in Statistics: Simulation & Computation. 2023, Vol. 52 Issue 4, p1630-1638. 9p.
- Subject
- *INTEREST rates
*MAXIMUM likelihood statistics
*PARAMETER estimation
*LAW of large numbers
*COMPUTER simulation
*MARTINGALES (Mathematics)
- Language
- ISSN
- 0361-0918
This paper is concerned with the parameter estimation problem for generalized Ait-Sahalia-type interest rate model based on discrete observation. The parameter estimators are obtained by applying the approximate maximum likelihood estimation, ergodic theorem and properties of quadratic variation. The strong consistency property of parameter estimators is proved by using the law of large numbers for martingales and properties of quadratic covariation. Computer simulations are performed to illustrate our theory. [ABSTRACT FROM AUTHOR]