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math.PR2024
Ergodicity and Law-of-large numbers for the Volterra Cox-Ingersoll-Ross process
Mohamed Ben Alaya, Martin Friesen, Jonas Kremer
We study the Volterra Volterra Cox-Ingersoll-Ross process on and its stationary version. Based on a fine asymptotic analysis of the corresponding Volterra Riccati eq…
math.ST2024
Maximum likelihood estimation in the ergodic Volterra Ornstein-Uhlenbeck process
Mohamed Ben Alaya, Martin Friesen, Jonas Kremer
We study statistical inference of the drift parameters for the Volterra Ornstein-Uhlenbeck process on R in the ergodic regime. For continuous-time observations, we derive the corre…