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Asymptotic Properties of Parameter Estimators in Fractional Vasicek Model
- Source :
- Lietuvos statistikos darbai. 55:102-111
- Publication Year :
- 2016
- Publisher :
- Vilnius University Press, 2016.
-
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.
Details
- ISSN :
- 20297262 and 1392642X
- Volume :
- 55
- Database :
- OpenAIRE
- Journal :
- Lietuvos statistikos darbai
- Accession number :
- edsair.doi...........1a3afe0f276506916fc26ecf346bdc9c
- Full Text :
- https://doi.org/10.15388/ljs.2016.13872