Maximum Likelihood Estimation in the Fractional Vasicek Model

Maximum Likelihood Estimation in the Fractional Vasicek Model

We consider the fractional Vasicek model of the form dXt = (α-βXt)dt +γdBHt , driven by fractional Brownian motion BH with Hurst parameter H ∈ (1/2,1). We construct the maximum likelihood estimators for unknown parameters α and β, and prove their consistency and asymptotic normality.

Gespeichert in:
Bibliographische Detailangaben
Veröffentlicht in:Lithuanian Journal of Statistics 2017-12, Vol.56 (1), p.77-87
Hauptverfasser: Lohvinenko, Stanislav, Ralchenko, Kostiantyn
Format: Artikel
Sprache:eng
Schlagworte:
asymptotic normality
fractional Brownian motion
fractional Vasicek model
maximum likelihood estimation
strong consistency
Online-Zugang:Volltext
Tags: Tag hinzufügen
Keine Tags, Fügen Sie den ersten Tag hinzu!
Beschreibung
Zusammenfassung:We consider the fractional Vasicek model of the form dXt = (α-βXt)dt +γdBHt , driven by fractional Brownian motion BH with Hurst parameter H ∈ (1/2,1). We construct the maximum likelihood estimators for unknown parameters α and β, and prove their consistency and asymptotic normality.
ISSN:1392-642X
2029-7262
DOI:10.15388/LJS.2017.13674