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1. Asymptotic Properties of Parameter Estimators in Fractional Vasicek Model

Author

Stanislav Lohvinenko, Kostiantyn Ralchenko, and Olga Zhuchenko

Subjects
fractional Brownian motion, fractional Vasicek model, parameter estimation, strong consistency, discretization, Statistics, HA1-4737
Abstract

We consider the fractional Vasicek model of the form dXt = (α-βXt)dt + γdBHt, driven by fractional Brownian motion BH with Hurst parameter H ∈ (0,1). We construct three estimators for an unknown parameter θ=(α,β) and prove their strong consistency.

Published
2016
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