Maximum Likelihood Estimation for the Fractional Vasicek Model
This paper estimates the drift parameters in the fractional Vasicek model from a continuous record of observations via maximum likelihood (ML). The asymptotic theory for the ML estimates (MLE) is established in the stationary case, the explosive case, and the boundary case for the entire range of th...
| Main Authors: | , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2020-08-01
|
| Series: | Econometrics |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2225-1146/8/3/32 |
| _version_ | 1797558731931648000 |
|---|---|
| author | Katsuto Tanaka Weilin Xiao Jun Yu |
| author_facet | Katsuto Tanaka Weilin Xiao Jun Yu |
| author_sort | Katsuto Tanaka |
| collection | DOAJ |
| description | This paper estimates the drift parameters in the fractional Vasicek model from a continuous record of observations via maximum likelihood (ML). The asymptotic theory for the ML estimates (MLE) is established in the stationary case, the explosive case, and the boundary case for the entire range of the Hurst parameter, providing a complete treatment of asymptotic analysis. It is shown that changing the sign of the persistence parameter changes the asymptotic theory for the MLE, including the rate of convergence and the limiting distribution. It is also found that the asymptotic theory depends on the value of the Hurst parameter. |
| first_indexed | 2024-03-10T17:34:56Z |
| format | Article |
| id | doaj.art-87fea7a9fa204fda947faf88bac89554 |
| institution | Directory Open Access Journal |
| issn | 2225-1146 |
| language | English |
| last_indexed | 2024-03-10T17:34:56Z |
| publishDate | 2020-08-01 |
| publisher | MDPI AG |
| record_format | Article |
| series | Econometrics |
| spelling | doaj.art-87fea7a9fa204fda947faf88bac895542023-11-20T09:53:26ZengMDPI AGEconometrics2225-11462020-08-01833210.3390/econometrics8030032Maximum Likelihood Estimation for the Fractional Vasicek ModelKatsuto Tanaka0Weilin Xiao1Jun Yu2Faculty of Economics, Gakushuin University, Tokyo 171-8588, JapanSchool of Management, Zhejiang University, Hangzhou 310058, ChinaSchool of Economics and Lee Kong Chian Schoo of Business, Singapore Management University, Singapore 178903, SingaporeThis paper estimates the drift parameters in the fractional Vasicek model from a continuous record of observations via maximum likelihood (ML). The asymptotic theory for the ML estimates (MLE) is established in the stationary case, the explosive case, and the boundary case for the entire range of the Hurst parameter, providing a complete treatment of asymptotic analysis. It is shown that changing the sign of the persistence parameter changes the asymptotic theory for the MLE, including the rate of convergence and the limiting distribution. It is also found that the asymptotic theory depends on the value of the Hurst parameter.https://www.mdpi.com/2225-1146/8/3/32maximum likelihood estimatefractional Vasicek modelasymptotic distributionstationary processexplosive processboundary process |
| spellingShingle | Katsuto Tanaka Weilin Xiao Jun Yu Maximum Likelihood Estimation for the Fractional Vasicek Model Econometrics maximum likelihood estimate fractional Vasicek model asymptotic distribution stationary process explosive process boundary process |
| title | Maximum Likelihood Estimation for the Fractional Vasicek Model |
| title_full | Maximum Likelihood Estimation for the Fractional Vasicek Model |
| title_fullStr | Maximum Likelihood Estimation for the Fractional Vasicek Model |
| title_full_unstemmed | Maximum Likelihood Estimation for the Fractional Vasicek Model |
| title_short | Maximum Likelihood Estimation for the Fractional Vasicek Model |
| title_sort | maximum likelihood estimation for the fractional vasicek model |
| topic | maximum likelihood estimate fractional Vasicek model asymptotic distribution stationary process explosive process boundary process |
| url | https://www.mdpi.com/2225-1146/8/3/32 |
| work_keys_str_mv | AT katsutotanaka maximumlikelihoodestimationforthefractionalvasicekmodel AT weilinxiao maximumlikelihoodestimationforthefractionalvasicekmodel AT junyu maximumlikelihoodestimationforthefractionalvasicekmodel |