Asymptotic Properties of Parameter Estimators in Fractional Vasicek Model

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.

Bibliographic Details
Main Authors: Stanislav Lohvinenko, Kostiantyn Ralchenko, Olga Zhuchenko
Format: Article
Language:English
Published: Lietuvos statistikų sąjunga, Lietuvos statistikos departamentas 2016-12-01
Series:Lithuanian Journal of Statistics
Subjects:
fractional Brownian motion
fractional Vasicek model
parameter estimation
strong consistency
discretization
Online Access:https://www.journals.vu.lt/statisticsjournal/article/view/13872

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