Parameter estimation for the discretely observed vasicek model with small fractional Lévy noise
DOI10.1007/s10114-020-9121-yOpenAlexW3015529187MaRDI QIDQ1987558
Guang Jun Shen, Qing Bo Wang, Xiuwei Yin
Publication date: 15 April 2020
Published in: Acta Mathematica Sinica. English Series (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10114-020-9121-y
asymptotic distributionconsistencyOrnstein-Uhlenbeck processleast squares estimatorfraction Lévy processes
Central limit and other weak theorems (60F05) Fractional processes, including fractional Brownian motion (60G22) Least squares and related methods for stochastic control systems (93E24) Numerical solutions to stochastic differential and integral equations (65C30)
Uses Software
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