Maximum Likelihood Estimation in the Fractional Vasicek Model
Copyright policy ) Stanislav Lohvinenko; Kostiantyn Ralchenko;
Maximum Likelihood Estimation in the 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 ∈ (1/2,1). We construct the maximum likelihood estimators for unknown parameters α and β, and prove their consistency and asymptotic normality.
fractional Vasicek model, asymptotic normality, Statistics, fractional Brownian motion, maximum likelihood estimation, strong consistency, HA1-4737
fractional Vasicek model, asymptotic normality, Statistics, fractional Brownian motion, maximum likelihood estimation, strong consistency, HA1-4737
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selected citations
Citations provided by BIP!
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
Citations provided by BIP!popularityPopularity provided by BIP!
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
Popularity provided by BIP! 7
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