Open AccessMaximum Likelihood Estimation in the Fractional Vasicek Model
Author(s) -
Stanislav Lohvinenko,
Kostiantyn Ralchenko
Publication year - 2017
Publication title -
lithuanian journal of statistics
Language(s) - English
Resource type - Journals
ISSN - 2029-7262
DOI - 10.15388/ljs.2017.13674
Subject(s) - vasicek model , fractional brownian motion , estimator , mathematics , hurst exponent , asymptotic distribution , maximum likelihood , consistency (knowledge bases) , strong consistency , statistics , brownian motion , discrete mathematics , economics , finance , bond
We consider the fractional Vasicek model of the form dX t = (α-βX t )dt +γdB H t , driven by fractional Brownian motion B H with Hurst parameter H ∈ (1/2,1). We construct the maximum likelihood estimators for unknown parameters α and β, and prove their consistency and asymptotic normality.
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