Parameter Estimation for the Square-Root Diffusions: Ergodic and Nonergodic Cases

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Limit theorems for nearly unstable Hawkes processes (2013, methodology): “Considering an intermediate scale, where the process behaves like a CIR model, one can use statistical methods specifically developed in order to estimate CIR parameters, see [3] for a survey.”
Asymptotic Behavior of the Maximum Likelihood Estimator for Ergodic and Nonergodic Square-Root Diffusions (2013, methodology): “…and Kebaier study the seperate asymptotic behavior of ( X t , t 0 X s ds ) and t 0 ds X s (see Propositions 1 and 2 of [1]) and prove the following result Theorem 1 Let ( X t ) t 0 be a CIR process solution to (2), we have 1. as t tends to inﬁnity, where ( R t ) t 0 is the CIR process starting…”