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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| Main Authors: | , , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2019
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| Subjects: | |
| 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 |