Maximum Likelihood Estimation for Mixed Fractional Vasicek Processes

Maximum Likelihood Estimation for Mixed Fractional Vasicek Processes

In this paper, we consider the problem of estimating the drift parameters in the mixed fractional Vasicek model, which is an extended model of the traditional Vasicek model. Using the fundamental martingale and the Laplace transform, both the strong consistency and the asymptotic normality of the ma...

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Bibliographic Details
Main Authors: Chun-Hao Cai, Yin-Zhong Huang, Lin Sun, Wei-Lin Xiao
Format: Article
Language:English
Published: MDPI AG 2022-01-01
Series:Fractal and Fractional
Subjects:
maximum likelihood estimator
mixed fractional Vasicek model
asymptotic theory
Laplace transform
Online Access:https://www.mdpi.com/2504-3110/6/1/44

Internet

https://www.mdpi.com/2504-3110/6/1/44

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