Asymptotic theory for estimating drift parameters in the fractional Vasicek model

• 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
• Institution: Singapore Management University

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...