Asymptotic Properties of Parameter Estimators in Fractional Vasicek Model

Stanislav Lohvinenko,Kostiantyn Ralchenko, Olga Zhuchenko

Lietuvos statistikos darbai（2016）

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摘要

We consider the fractional Vasicek model of the form dX t = (α-βX t )dt + γdB H t , driven by fractional Brownian motion B H with Hurst parameter H ∈ (0,1). We construct three estimators for an unknown parameter θ=(α,β) and prove their strong consistency.

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关键词

fractional Brownian motion,fractional Vasicek model,parameter estimation,strong consistency,discretization

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