Asymptotic Properties of Parameter Estimators in Fractional Vasicek Model

descriptionPublicationkeyboard_double_arrow_right Article , Other literature type 20 Dec 2016Publisher:Vilnius University PressJournal:Lietuvos statistikos darbai, volume 55, pages 102-111 (issn: 1392-642X, eissn: 2029-7262,

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Authors: Stanislav Lohvinenko; Kostiantyn Ralchenko; Olga Zhuchenko;

doi: 10.15388/ljs.2016.13872

Asymptotic Properties of Parameter Estimators in Fractional Vasicek Model

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Abstract

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.

Related Organizations

Taras Shevchenko National University of Kyiv
Ukraine

Keywords

fractional Vasicek model, Statistics, fractional Brownian motion, discretization, strong consistency, parameter estimation, HA1-4737

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