Asymptotic theory for estimating drift parameters in the fractional Vasicek model

Asymptotic theory for estimating drift parameters in the fractional Vasicek model

This paper develops the asymptotic theory for estimators of two parameters in the drift function in the fractional Vasicek model when a continuous record of observations is available. The fractional Vasicek model is assumed to be driven by the fractional Brownian motion with a known Hurst parameter...

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Bibliographic Details
Main Authors: XIAO, Weilin, YU, Jun
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2017
Subjects:
Least squares
Fractional Vasicek model
Stationary process
Explosive process
Null recurrent
Strong consistency
Asymptotic distribution
Econometrics
Online Access:https://ink.library.smu.edu.sg/soe_research/1966
https://ink.library.smu.edu.sg/context/soe_research/article/2965/viewcontent/FVasicek07_.pdf
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Institution: Singapore Management University
Language: English

Internet

https://ink.library.smu.edu.sg/soe_research/1966
https://ink.library.smu.edu.sg/context/soe_research/article/2965/viewcontent/FVasicek07_.pdf

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