{
  "abstract": "We construct a feasible two-step estimator for the elasticity parameter in small-noise CEV-type diffusions. Under joint small-noise and high-frequency asymptotics, we establish its consistency and an $\\varepsilon^{-1}$ central limit theorem with an explicit asymptotic variance. We adapt a Lamperti-based transformation strategy to elasticity inference for a CEV process with an attainable, absorbing $0$ boundary. Under a local-to-CEV scaling, an auxiliary CKLS process and a Girsanov change of measure yield a strictly positive CIR-type benchmark in which the elasticity is recast as a linear-drift parameter. A preliminary elasticity estimator based on local realized variance supplies the unknown parameter in the state mapping, yielding a feasible LSE-type estimator. The asymptotic theory combines control of the CKLS-to-CEV path-replacement error, total-variation closeness between the original and changed measures, and asymptotic negligibility of the preliminary plug-in error, thereby transferring the auxiliary CIR limit theory to the feasible estimator under the original measure.",
  "abstract_shown": true,
  "affiliations": [],
  "article_type": null,
  "arxiv": "2610.05864",
  "author_total": 2,
  "authors": [
    {
      "name": "Boyuan Ning"
    },
    {
      "name": "Yasutaka Shimizu"
    }
  ],
  "bibtex": "https://research.draconitic.com/paper/4wpdg9501qjej.bib",
  "cited_by": 0,
  "doi": "10.48550/arxiv.2610.05864",
  "fulltext_url": null,
  "id": "4wpdg9501qjej",
  "issns": [],
  "landing_url": "https://arxiv.org/abs/2610.05864",
  "language": null,
  "licence": "CC-BY-4.0",
  "licence_label": "CC BY 4.0",
  "licence_source": "article",
  "licence_url": "http://creativecommons.org/licenses/by/4.0/",
  "metadata_licence": "CC0-1.0",
  "native_subjects": [
    [
      "arxiv",
      "math.ST"
    ],
    [
      "arxiv",
      "stat.ME"
    ],
    [
      "arxiv",
      "stat.TH"
    ],
    [
      "openalex",
      "2003|Stochastic processes and financial applications"
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  "openalex": "W7220657364",
  "pdf_url": "https://arxiv.org/pdf/2610.05864",
  "pmcid": null,
  "pmid": null,
  "published": "2026-10-05",
  "publisher": null,
  "ris": "https://research.draconitic.com/paper/4wpdg9501qjej.ris",
  "sources": [
    {
      "first_seen": "2026-10-30T12:27:10Z",
      "native_id": "2610.05864",
      "source": "arxiv",
      "url": "https://arxiv.org/abs/2610.05864"
    }
  ],
  "subjects": [
    {
      "field": "mathematics",
      "origin": "arxiv:math.ST",
      "subfield": "statistics"
    }
  ],
  "title": "Elasticity estimation via the CKLS--CIR transform for small-noise CEV-type diffusions",
  "title_text": "Elasticity estimation via the CKLS--CIR transform for small-noise CEV-type diffusions",
  "type": "preprint",
  "updated_at": "2026-10-30T12:27:16Z",
  "url": "https://research.draconitic.com/paper/4wpdg9501qjej",
  "venue": "arXiv",
  "versions": []
}