Least squares estimation for the drift parameters in the sub-fractional Vasicek processes
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Publication:1643803
DOI10.1016/j.jspi.2018.01.003zbMath1394.62116OpenAlexW2787968006MaRDI QIDQ1643803
Ying Zuo, Wei-Lin Xiao, Xi-Li Zhang
Publication date: 20 June 2018
Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jspi.2018.01.003
asymptotic distributionsstrong consistencyleast squares estimatorssub-fractional Brownian motionsVasicek processes
Asymptotic properties of parametric estimators (62F12) Fractional processes, including fractional Brownian motion (60G22) Markov processes: estimation; hidden Markov models (62M05)
Related Items (10)
Approximation to two independent Gaussian processes from a unique Lévy process and applications ⋮ Statistical inference for Vasicek-type model driven by self-similar Gaussian processes ⋮ Least squares estimations for approximate fractional vasicek model driven by a semimartingale ⋮ Parameter estimation for Vasicek model driven by a general Gaussian noise ⋮ Least squares type estimators for the drift parameters in the sub-bifractional Vasicek processes ⋮ Parameter estimation for the discretely observed vasicek model with small fractional Lévy noise ⋮ Estimating drift parameters in a non-ergodic Gaussian Vasicek-type model ⋮ Maximum likelihood estimation for sub-fractional Vasicek model ⋮ Parameter estimation for discretized geometric fractional Brownian motions with applications in Chinese financial markets ⋮ Approximation of stochastic differential equations driven by subfractional Brownian motion at discrete time observation
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