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Asymptotic Behavior of the Maximum Likelihood Estimator for Ergodic and Nonergodic Square-Root Diffusions |
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| Authors: | Mohamed Ben Alaya |
| Institution: | Université Paris 13, Sorbonne Paris Cité, LAGA, CNRS (UMR 7539) , Villetaneuse , France |
| Abstract: | |
| Keywords: | Cox-Ingersoll-Ross processes Laplace transform Limit theorems Nonergodic diffusion Parameter inference |