Estimation of a pure-jump stable Cox-Ingersoll-Ross process

Abstract

We consider a pure-jump stable Cox-Ingersoll-Ross (α-stable CIR) process driven by a non-symmetric stable Lévy process with jump activity $\mathit{\alpha }\in (1,2)$ and we address the joint estimation of drift, scaling and jump activity parameters from high-frequency observations of the process on a fixed time period. We first prove the existence of a consistent, rate optimal and asymptotically conditionally Gaussian estimator based on an approximation of the likelihood function. Moreover, uniqueness of the drift estimators is established assuming that the scaling coefficient and the jump activity are known or consistently estimated. Next we propose easy-to-implement preliminary estimators of all parameters and we improve them by a one-step procedure.