Чергове засідання семінару з асимптотичної статистики (“Asymptotic Methods in Statistics”) відбудеться 21 жовтня (середа) 2026 р.
🎤 Доповідач Dr. Sc. (Phys. & Math.), Associate Prof. Kostiantyn Ralchenko, Taras Shevchenko National University of Kyiv. Тема доповіді – “Asymptotic properties of drift parameter estimators in CKLS diffusion models”
Опис доповіді:
The Chan–Karolyi–Longstaff–Sanders (CKLS) model is a flexible family of diffusion models widely used in financial mathematics, particularly for modelling interest rates and stochastic volatility. It includes several classical models, such as the Cox–Ingersoll–Ross model, as special cases.
In this talk, we discuss the estimation of drift parameters in CKLS diffusion models based on continuous-time observations. We focus on the construction of explicit estimators using the method of moments and investigate their asymptotic properties. In particular, we address strong consistency, asymptotic normality, existence of moments, and convergence in L^p under suitable assumptions. We also discuss the role of the model parameters in the asymptotic behavior of the estimators and illustrate the theoretical results with numerical simulations.
Preprint: arXiv:2606.11421
One can find video files and slides of talks at the seminar on Asymptotic Methods in Statistics here:
A link to a slide is below the description of the video, namely
https://shorturl.at/jUAhL and
https://shorturl.at/rdpqs
🕔 Початок засідання о 17:00.
💻 Засідання відбудеться онлайн за посиланням: Zoom
🙌 Запрошуються всі бажаючі.
👥 Керівники семінару – О.Г. Кукуш, Р.Є. Майборода