Parametric Estimation in the Vasicek-Type Model Driven by Sub-Fractional Brownian Motion
Copyright policy )Parametric Estimation in the Vasicek-Type Model Driven by Sub-Fractional Brownian Motion
In the paper, we tackle the least squares estimators of the Vasicek-type model driven by sub-fractional Brownian motion: d X t = ( μ + θ X t ) d t + d S t H , t ≥ 0 with X 0 = 0 , where S H is a sub-fractional Brownian motion whose Hurst index H is greater than 1 2 , and μ ∈ R , θ ∈ R + are two unknown parameters. Based on the so-called continuous observations, we suggest the least square estimators of μ and θ and discuss the consistency and asymptotic distributions of the two estimators.
- Institute of Applied Physics and Computational Mathematics China (People's Republic of)
- Bengbu University China (People's Republic of)
Vasicek-type model, Industrial engineering. Management engineering, Markov processes: estimation; hidden Markov models, Stochastic integrals, least squares method, Fractional processes, including fractional Brownian motion, QA75.5-76.95, T55.4-60.8, Young’s integration, Young's integration, Electronic computers. Computer science, asymptotic distribution, sub-fractional Brownian motion, Asymptotic properties of parametric estimators
Vasicek-type model, Industrial engineering. Management engineering, Markov processes: estimation; hidden Markov models, Stochastic integrals, least squares method, Fractional processes, including fractional Brownian motion, QA75.5-76.95, T55.4-60.8, Young’s integration, Young's integration, Electronic computers. Computer science, asymptotic distribution, sub-fractional Brownian motion, Asymptotic properties of parametric estimators
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