Maximum likelihood estimation for sub-fractional Vasicek model

DOI10.1515/rose-2021-2065zbMath1477.62231arXiv2106.03350OpenAlexW3207705667MaRDI QIDQ2066932

B. L. S. Prakasa Rao

Publication date: 17 January 2022

Published in: Random Operators and Stochastic Equations (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2106.03350

zbMATH Keywords

maximum likelihood estimationsub-fractional Brownian motionsub-fractional Vasicek model

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Fractional processes, including fractional Brownian motion (60G22) Non-Markovian processes: estimation (62M09)

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