Statistical inference for Vasicek-type model driven by Hermite processes

DOI10.1016/J.SPA.2018.10.005MaRDI QIDQ2274256zbMATH OpenOpenAlexWikidataFDO

Authors Ivan Nourdin, T. T. Diu Tran

Publication date 19 September 2019

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1712.05915

zbMATH Keywords

parameter estimationstrong consistencylong-range dependencefractional Ornstein-Uhlenbeck processfractional Vasicek modelHermite Ornstein-Uhlenbeck Processes

Mathematics Subject Classification ID

Point estimation (62F10) Asymptotic properties of parametric estimators (62F12) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Self-similar stochastic processes (60G18)

Abstract: Let $Z$ denote a Hermite process of order $qgeq1$ and self-similarity parameter $Hin(frac12,1)$. This process is $H$-self-similar, has stationary increments and exhibits long-range dependence. When $q=1$, it corresponds to the fractional Brownian motion, whereas it is not Gaussian as soon as $qgeq2$. In this paper, we deal with a Vasicek-type model driven by $Z$, of the form $d{X}_t=a(b-X_t)dt+d{Z}_t$. Here, $a>0$ and $binmathbbR$ are considered as unknown drift parameters. We provide estimators for $a$ and $b$ based on continuous-time observations. For all possible values of $H$ and $q$, we prove strong consistency and we analyze the asymptotic fluctuations.

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Cited in

(24)

• Parameter estimation for the Rosenblatt Ornstein-Uhlenbeck process with periodic mean
• Inference in a Non-Homogeneous Vasicek Type Model
• Parameter estimation for a discrete time model driven by fractional Poisson process
• Parameter estimation for Gaussian mean-reverting Ornstein–Uhlenbeck processes of the second kind: Non-ergodic case
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• Berry-Esseen bounds of second moment estimators for Gaussian processes observed at high frequency
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• Parameter identification for the Hermite Ornstein-Uhlenbeck process
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