Maximum likelihood estimation in the non-ergodic fractional Vasicek model

DOI10.15559/19-VMSTA140zbMath1440.60029arXiv2001.02489OpenAlexW3100001491MaRDI QIDQ2337822

Kostiantyn Ralchenko, Stanislav Lohvinenko

Publication date: 20 November 2019

Published in: Modern Stochastics. Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2001.02489

zbMATH Keywords

asymptotic distributionmaximum likelihood estimationfractional Brownian motionmoment generating functionfractional Vasicek modelnon-ergodic process

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Fractional processes, including fractional Brownian motion (60G22) Point estimation (62F10)

Related Items (4)

Least-squares estimation for the Vasicek model driven by the complex fractional Brownian motion ⋮ Maximum likelihood estimation of stochastic differential equations with random effects driven by fractional Brownian motion ⋮ Asymptotic distribution of the maximum likelihood estimator in the fractional Vašíček model ⋮ Maximum likelihood estimation for sub-fractional Vasicek model

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