$Maximum likelihood estimation for the fractional Vasicek model$

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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書目詳細資料
Main Authors:	TANAKA, Katsuto, XIAO, Weilin, YU, Jun
格式:	text
語言:	English
出版:	Institutional Knowledge at Singapore Management University 2019
主題:	Maximum likelihood estimate Fractional Vasicek model Asymptotic distribution Stationary process Explosive process Null recurrent process Economic Theory
在線閱讀:	https://ink.library.smu.edu.sg/soe_research/2248 https://ink.library.smu.edu.sg/context/soe_research/article/3247/viewcontent/MLEfVm11_.pdf
標簽:	添加標簽沒有標簽, 成為第一個標記此記錄!
機構:	Singapore Management University
語言:	English

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