Parametric Estimation and the CIR Model


  • Eugenio Saavedra Universidad de Santiago.



estimating function, quasi—likelihood, stochastic differential equation, función estimativa, casi-parentesco, ecuación diferencial estocástica.


We study parametric estimation in the Cox-Ingersoll-Ross model and establish the stochastic differential equations for the parameters involved in it.

Author Biography

Eugenio Saavedra, Universidad de Santiago.

Departamento de Matematica y Ciencias de la Computación.


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[4] Heyde, C., Quasi—Likelihood and its Aplications, Springer, New York, (1997).

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[6] Kloeden, P., Platen, E., Shurz, H., Sorensen, M., On effects of discretization on estimators of drift parameters for diffusion processes, J. Appl. Probab. 33, pp. 1061—1076, (1996).

[7] Protter, P., Stochastic Integration and Differential Equations, Springer, New York, (1990).



How to Cite

E. Saavedra, “Parametric Estimation and the CIR Model”, Proyecciones (Antofagasta, On line), vol. 35, no. 2, pp. 197-211, Mar. 2017.