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Title
ASYMPTOTIC PROPERTIES OF PARAMETER ESTIMATORS IN FRACTIONAL VASICEK MODEL.
Authors
Lohvinenko, Stanislav; Ralchenko, Kostiantyn; Zhuchenko, Olga
Abstract
We consider the fractional Vasicek model of the form dXt = (α-βXt) dt +γdBtH, driven by fractional Brownian motion BH with Hurst parameter H ϵ (0,1). We construct three estimators for an unknown parameter θ=(α,β) and prove their strong consistency.
Publication
Lithuanian Journal of Statistics / Lietuvos Statistikos Darbai, 2016, Vol 55, Issue 1, p102