Least squares type estimators for the drift parameters in the sub-bifractional Vasicek processes

DOI10.1142/s0219025723500042OpenAlexW4323855121MaRDI QIDQ6113296

Nenghui Kuang, Huantian Xie

Publication date: 10 July 2023

Published in: Infinite Dimensional Analysis, Quantum Probability and Related Topics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219025723500042

zbMATH Keywords

asymptotic distributionstrong consistencyleast squares type estimatorsub-bifractional Vasicek process

Mathematics Subject Classification ID

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

Cites Work

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• Parameter estimation for Gaussian mean-reverting Ornstein–Uhlenbeck processes of the second kind: Non-ergodic case
• Berry-Esséen bounds and almost sure CLT for the quadratic variation of the sub-bifractional Brownian motion

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