Open AccessLeast Squares Estimator for Vasicek Model Driven by Fractional Levy Processes
Author(s) -
Qingbo Wang,
Xiuwei Yin
Publication year - 2018
Publication title -
journal of advances in mathematics
Language(s) - English
Resource type - Journals
ISSN - 2347-1921
DOI - 10.24297/jam.v14i2.7839
Subject(s) - vasicek model , mathematics , estimator , strong consistency , consistency (knowledge bases) , ergodic theory , asymptotic distribution , generalization , statistics , mathematical analysis , discrete mathematics , finance , bond , economics
In this paper, we consider parameter estimation problem for Vasicek model driven by fractional lévy processes defined
We construct least squares estimator for drift parameters based on time?continuous observations, the consistency and asymptotic distribution of these estimators are studied in the non?ergodic case. In contrast to the fractional Vasicek model, it can be regarded as a Lévy generalization of fractional Vasicek model.