Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Asymptotic properties of maximum likelihood estimator for the growth
  rate for a jump-type CIR process based on continuous time observations   We consider a jump-type Cox--Ingersoll--Ross (CIR) process driven by a
standard Wiener process and a subordinator, and we study asymptotic properties
of the maximum likelihood estimator (MLE) for its growth rate. We distinguish
three cases: subcritical, critical and supercritical. In the subcritical case
we prove weak consistency and asymptotic normality, and, under an additional
moment assumption, strong consistency as well. In the supercritical case, we
prove strong consistency and mixed normal (but non-normal) asymptotic behavior,
while in the critical case, weak consistency and non-standard asymptotic
behavior are described. We specialize our results to so-called basic affine
jump-diffusions as well. Concerning the asymptotic behavior of the MLE in the
supercritical case, we derive a stochastic representation of the limiting mixed
normal distribution, where the almost sure limit of an appropriately scaled
jump-type supercritical CIR process comes into play. This is a new phenomenon,
compared to the critical case, where a diffusion-type critical CIR process
plays a role.

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The categories of this paper are: q-alg
22
The categories of this paper are: chao-dyn
14
The categories of this paper are: math-ph
20
The categories of this paper are: acc-phys
34
The categories of this paper are: chem-ph
11
The categories of this paper are: hep-lat
37
The categories of this paper are: supr-con
0
The categories of this paper are: hep-ph
32
The categories of this paper are: atom-ph
15
The categories of this paper are: nucl-ex
21
The categories of this paper are: adap-org
36
The categories of this paper are: cmp-lg
28
The categories of this paper are: alg-geom
6
The categories of this paper are: astro-ph
9
The categories of this paper are: nlin
25
The categories of this paper are: patt-sol