ASYMPTOTIC PROPERTIES OF PARAMETER ESTIMATORS IN FRACTIONAL VASICEK MODEL

Stanislav Lohvinenko, Kostiantyn Ralchenko, Olga Zhuchenko

Abstract


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

 


Keywords


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

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Lithuanian Journal of Statistics ISSN 1392-642X, eISSN 2029-7262
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