Asymptotic Properties of Parameter Estimators in 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 ∈ (0,1). We construct three estimators for an unknown parameter θ=(α,β) and prove their strong consistency.
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
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Lietuvos statistikų sąjunga, Lietuvos statistikos departamentas
2016-12-01
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| Series: | Lithuanian Journal of Statistics |
| Subjects: | |
| Online Access: | https://www.journals.vu.lt/statisticsjournal/article/view/13872 |
| _version_ | 1811272332058034176 |
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| author | Stanislav Lohvinenko Kostiantyn Ralchenko Olga Zhuchenko |
| author_facet | Stanislav Lohvinenko Kostiantyn Ralchenko Olga Zhuchenko |
| author_sort | Stanislav Lohvinenko |
| collection | DOAJ |
| description |
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.
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| first_indexed | 2024-04-12T22:38:17Z |
| format | Article |
| id | doaj.art-8dd9a59d64394cf7a79624ac72a0e618 |
| institution | Directory Open Access Journal |
| issn | 1392-642X 2029-7262 |
| language | English |
| last_indexed | 2024-04-12T22:38:17Z |
| publishDate | 2016-12-01 |
| publisher | Lietuvos statistikų sąjunga, Lietuvos statistikos departamentas |
| record_format | Article |
| series | Lithuanian Journal of Statistics |
| spelling | doaj.art-8dd9a59d64394cf7a79624ac72a0e6182022-12-22T03:13:48ZengLietuvos statistikų sąjunga, Lietuvos statistikos departamentasLithuanian Journal of Statistics1392-642X2029-72622016-12-0155110.15388/LJS.2016.13872Asymptotic Properties of Parameter Estimators in Fractional Vasicek ModelStanislav Lohvinenko0Kostiantyn Ralchenko1Olga Zhuchenko2Taras Shevchenko National University of Kyiv, UkraineTaras Shevchenko National University of Kyiv, UkraineTaras Shevchenko National University of Kyiv, Ukraine 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. https://www.journals.vu.lt/statisticsjournal/article/view/13872fractional Brownian motionfractional Vasicek modelparameter estimationstrong consistencydiscretization |
| spellingShingle | Stanislav Lohvinenko Kostiantyn Ralchenko Olga Zhuchenko Asymptotic Properties of Parameter Estimators in Fractional Vasicek Model Lithuanian Journal of Statistics fractional Brownian motion fractional Vasicek model parameter estimation strong consistency discretization |
| title | Asymptotic Properties of Parameter Estimators in Fractional Vasicek Model |
| title_full | Asymptotic Properties of Parameter Estimators in Fractional Vasicek Model |
| title_fullStr | Asymptotic Properties of Parameter Estimators in Fractional Vasicek Model |
| title_full_unstemmed | Asymptotic Properties of Parameter Estimators in Fractional Vasicek Model |
| title_short | Asymptotic Properties of Parameter Estimators in Fractional Vasicek Model |
| title_sort | asymptotic properties of parameter estimators in fractional vasicek model |
| topic | fractional Brownian motion fractional Vasicek model parameter estimation strong consistency discretization |
| url | https://www.journals.vu.lt/statisticsjournal/article/view/13872 |
| work_keys_str_mv | AT stanislavlohvinenko asymptoticpropertiesofparameterestimatorsinfractionalvasicekmodel AT kostiantynralchenko asymptoticpropertiesofparameterestimatorsinfractionalvasicekmodel AT olgazhuchenko asymptoticpropertiesofparameterestimatorsinfractionalvasicekmodel |