Maximum likelihood estimation for the fractional Vasicek model

Maximum likelihood estimation for the fractional Vasicek model

This paper is concerned about the problem of estimating the drift parameters in the fractional Vasicek model from a continuous record of observations. Based on the Girsanov theorem for the fractional Brownian motion, the maximum likelihood (ML) method is used. The asymptotic theory for the ML estima...

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Bibliographic Details
Main Authors: TANAKA, Katsuto, XIAO, Weilin, YU, Jun
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2019
Subjects:
Maximum likelihood estimate
Fractional Vasicek model
Asymptotic distribution
Stationary process
Explosive process
Null recurrent process
Economic Theory
Online Access:https://ink.library.smu.edu.sg/soe_research/2248
https://ink.library.smu.edu.sg/context/soe_research/article/3247/viewcontent/MLEfVm11_.pdf
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Institution: Singapore Management University
Language: English

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https://ink.library.smu.edu.sg/soe_research/2248
https://ink.library.smu.edu.sg/context/soe_research/article/3247/viewcontent/MLEfVm11_.pdf

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