Maximum likelihood estimation for sub-fractional Vasicek model
Probability
2021-06-08 v1 Statistics Theory
Statistics Theory
Abstract
We investigate the asymptotic properties of maximum likelihood estimators of the drift parameter for fractional vasicek model driven by a sub-fractional Brownian motion.
Keywords
Cite
@article{arxiv.2106.03350,
title = {Maximum likelihood estimation for sub-fractional Vasicek model},
author = {B. L. S. Prakasa Rao},
journal= {arXiv preprint arXiv:2106.03350},
year = {2021}
}
Comments
arXiv admin note: substantial text overlap with arXiv:1901.06102