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I'm working on a project where I need to estimate the parameters of the CIR model. In the particular case, the CIR model is used to model cumulated capital calls for a private equity fund.

The data is quarterly, and runs for only 40 quarters or so, meaning that n is quite small. In this case, the CLS method should be the better choice for estimating the parameters.

The CLS estimators below are mathematically derived in the paper "Estimation in the Cox-Ingersoll-Ross model" by Overbeck and Ryden.

However, I am not confident on how to actually compute the specific estimates using these estimators and my data. Would you be so kind to help me in the right direction on this ? How would you go about this in R for example?

Best regards Kristian

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