Maximum Likelihood Estimation in the Fractional Vasicek Model

Maximum Likelihood Estimation in the Fractional Vasicek Model

We consider the fractional Vasicek model of the form dXt = (α-βXt)dt +γdBHt , driven by fractional Brownian motion BH with Hurst parameter H ∈ (1/2,1). We construct the maximum likelihood estimators for unknown parameters α and β, and prove their consistency and asymptotic normality.

Bibliographic Details
Main Authors: Stanislav Lohvinenko, Kostiantyn Ralchenko
Format: Article
Language:English
Published: Lietuvos statistikų sąjunga, Lietuvos statistikos departamentas 2017-12-01
Series:Lithuanian Journal of Statistics
Subjects:
fractional Brownian motion
fractional Vasicek model
maximum likelihood estimation
strong consistency
asymptotic normality
Online Access:https://www.journals.vu.lt/statisticsjournal/article/view/13674

Internet

https://www.journals.vu.lt/statisticsjournal/article/view/13674

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