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most citedLAN property for an ergodic diffusion with jumps

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math.ST2017

Local asymptotic properties for Cox-Ingersoll-Ross process with discrete observations

Mohamed Ben Alaya, Ahmed Kebaier, Ngoc Khue Tran

In this paper, we consider a one-dimensional Cox-Ingersoll-Ross (CIR) process whose drift coefficient depends on unknown parameters. Considering the process discretely observed at…