Least-squares estimation for the Vasicek model driven by the complex fractional Brownian motion

DOI10.1080/17442508.2021.1959587zbMath1495.60025OpenAlexW3186671596MaRDI QIDQ5080070

Zheng Tang, Xiuwei Yin, Guang Jun Shen

Publication date: 31 May 2022

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508.2021.1959587

zbMATH Keywords

consistencyasymptotic normalityfractional Brownian motionleast-squares estimatorfourth moment theoremscomplex multiple Wiener-Itô integral

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Central limit and other weak theorems (60F05) Fractional processes, including fractional Brownian motion (60G22) Markov processes: estimation; hidden Markov models (62M05)

Related Items (1)

Kernel representation formula: from complex to real Wiener-Itô integrals and vice versa

Uses Software

• YUIMA

Cites Work

• Unnamed Item
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