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.
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Lietuvos statistikų sąjunga, Lietuvos statistikos departamentas
2017-12-01
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| Series: | Lithuanian Journal of Statistics |
| Subjects: | |
| Online Access: | https://www.journals.vu.lt/statisticsjournal/article/view/13674 |