Parametric Estimation in the Vasicek-Type Model Driven by Sub-Fractional Brownian Motion

Author:

Li Shengfeng,Dong Yi

Abstract

In the paper, we tackle the least squares estimators of the Vasicek-type model driven by sub-fractional Brownian motion: d X t = ( μ + θ X t ) d t + d S t H , t ≥ 0 with X 0 = 0 , where S H is a sub-fractional Brownian motion whose Hurst index H is greater than 1 2 , and μ ∈ R , θ ∈ R + are two unknown parameters. Based on the so-called continuous observations, we suggest the least square estimators of μ and θ and discuss the consistency and asymptotic distributions of the two estimators.

Publisher

MDPI AG

Subject

Computational Mathematics,Computational Theory and Mathematics,Numerical Analysis,Theoretical Computer Science

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