Parametric estimation in the Vasicek-type model driven by sub-fractional Brownian motion

DOI10.3390/a11120197zbMath1461.62149OpenAlexW2902820687WikidataQ128825772 ScholiaQ128825772MaRDI QIDQ1712059

Yi Dong, Shengfeng Li

Publication date: 21 January 2019

Published in: Algorithms (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3390/a11120197

zbMATH Keywords

asymptotic distributionleast squares methodsub-fractional Brownian motionVasicek-type modelYoung's integration

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Fractional processes, including fractional Brownian motion (60G22) Markov processes: estimation; hidden Markov models (62M05) Stochastic integrals (60H05)

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