Maximum likelihood estimation in the non-ergodic fractional Vasicek model (Q2337822)
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English | Maximum likelihood estimation in the non-ergodic fractional Vasicek model |
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Maximum likelihood estimation in the non-ergodic fractional Vasicek model (English)
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20 November 2019
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The authors investigate the fractional Vasicek model described by the stochastic differential equation \[ dX_t = (\alpha-\beta X_t) dt + \gamma dB^H_t , X_0 = x_0, \] driven by the fractional Brownian motion \(B^H\) with the known Hurst parameter \(H\in (1/2, 1)\). They study the maximum likelihood estimators for two unknown drift parameters \(\alpha\) and \(\beta\) in the non-ergodic case for arbitrary initial value. The asymptotic distribution of the maximum likelihood estimator of each parameter is derived and the asymptotic independence of these estimators is established.
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fractional Brownian motion
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fractional Vasicek model
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maximum likelihood estimation
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moment generating function
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asymptotic distribution
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non-ergodic process
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