Parameter estimation for Vasicek model driven by a general Gaussian noise

DOI10.1080/03610926.2021.1967399arXiv2009.09332OpenAlexW3193341638MaRDI QIDQ6106256

Unnamed Author, Yong Chen, Unnamed Author

Publication date: 27 June 2023

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

Full work available at URL: https://arxiv.org/abs/2009.09332

zbMATH Keywords

Gaussian processVasicek modelfourth moment theoremsGarsia-Rodemich-Rumsey inequality

Mathematics Subject Classification ID

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

Cites Work

• On the Wiener integral with respect to the fractional Brownian motion on an interval
• Parameter estimation for fractional Ornstein-Uhlenbeck processes
• Least squares estimation for the drift parameters in the sub-fractional Vasicek processes
• Asymptotic theory for rough fractional Vasicek models
• Parameter estimation for an Ornstein-Uhlenbeck process driven by a general Gaussian noise
• Statistical inference for Vasicek-type model driven by Hermite processes
• Parameter estimation for fractional Ornstein-Uhlenbeck processes of general Hurst parameter
• Central limit theorems for sequences of multiple stochastic integrals
• Analysis on Gaussian Spaces
• ASYMPTOTIC THEORY FOR ESTIMATING DRIFT PARAMETERS IN THE FRACTIONAL VASICEK MODEL
• Optimal asset allocation for participating contracts with mortality risk under minimum guarantee
• Berry-Esséen bound for the parameter estimation of fractional Ornstein-Uhlenbeck processes with the hurst parameter H∈(0,12)
• Statistical inference for Vasicek-type model driven by self-similar Gaussian processes
• An equilibrium characterization of the term structure
• Parameter Estimation of Complex Fractional Ornstein-Uhlenbeck Processes with Fractional Noise

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