{"title":"Maximum likelihood estimation for sub-fractional Vasicek model","authors":"B. Prakasa Rao","doi":"10.1515/rose-2021-2065","DOIUrl":null,"url":null,"abstract":"Abstract We investigate the asymptotic properties of maximum likelihood estimators of the drift parameters for the fractional Vasicek model driven by a sub-fractional Brownian motion.","PeriodicalId":43421,"journal":{"name":"Random Operators and Stochastic Equations","volume":"29 1","pages":"265 - 277"},"PeriodicalIF":0.3000,"publicationDate":"2021-10-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Random Operators and Stochastic Equations","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1515/rose-2021-2065","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q4","JCRName":"STATISTICS & PROBABILITY","Score":null,"Total":0}
引用次数: 0
Abstract
Abstract We investigate the asymptotic properties of maximum likelihood estimators of the drift parameters for the fractional Vasicek model driven by a sub-fractional Brownian motion.
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