Parameter estimation for Vasicek model driven by a general Gaussian noise
Statistics Theory
2020-09-25 v2 Probability
Statistics Theory
Abstract
This paper developed an inference problem for Vasicek model driven by a general Gaussian process. We construct a least squares estimator and a moment estimator for the drift parameters of the Vasicek model, and we prove the consistency and the asymptotic normality. Our approach extended the result of Xiao and Yu (2018) for the case when noise is a fractional Brownian motion with Hurst parameter H \in [1/2,1).
Cite
@article{arxiv.2009.09332,
title = {Parameter estimation for Vasicek model driven by a general Gaussian noise},
author = {Xingzhi Pei},
journal= {arXiv preprint arXiv:2009.09332},
year = {2020}
}
Comments
arXiv admin note: text overlap with arXiv:2002.09641 by other authors