Asymptotic Growth of Sample Paths of Tempered Fractional Brownian Motions, with Statistical Applications to Vasicek-Type Models

Asymptotic Growth of Sample Paths of Tempered Fractional Brownian Motions, with Statistical Applications to Vasicek-Type Models

Tempered fractional Brownian motion (TFBM) and tempered fractional Brownian motion of the second kind (TFBMII) modify the power-law kernel in the moving average representation of fractional Brownian motion by introducing exponential tempering. We construct least-square estimators for the unknown dri...

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Bibliographic Details
Main Authors: Yuliya Mishura, Kostiantyn Ralchenko
Format: Article
Language:English
Published: MDPI AG 2024-01-01
Series:Fractal and Fractional
Subjects:
fractional Brownian motion
tempered fractional processes
asymptotic growth
Vasicek model
parameter estimation
strong consistency
Online Access:https://www.mdpi.com/2504-3110/8/2/79

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https://www.mdpi.com/2504-3110/8/2/79

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