Statistical inference for Vasicek-type model driven by self-similar Gaussian processes

DOI10.1080/03610926.2018.1543774OpenAlexW2904035946MaRDI QIDQ5085589

Qian Yu

Publication date: 27 June 2022

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2018.1543774

zbMATH Keywords

parameter estimationstrong consistencyVasicek-type modelself-similarity processes

Mathematics Subject Classification ID

Least squares and related methods for stochastic control systems (93E24) Self-similar stochastic processes (60G18) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (4)

Least-squares estimation for the Vasicek model driven by the complex fractional Brownian motion ⋮ Parameter estimation for Vasicek model driven by a general Gaussian noise ⋮ Least squares type estimators for the drift parameters in the sub-bifractional Vasicek processes ⋮ Maximum likelihood estimation for sub-fractional Vasicek model

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