Maximum likelihood estimation in the non-ergodic fractional Vasicek model

DOI10.15559/19-VMSTA140MaRDI QIDQ2337822zbMATH OpenOpenAlexFDO

Authors Stanislav Lohvinenko, K. V. Ral'chenko

Publication date 20 November 2019

Published in Modern Stochastics. Theory and Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2001.02489

zbMATH Keywords

asymptotic distributionfractional Brownian motionfractional Vasicek modelmaximum likelihood estimationmoment generating functionnon-ergodic process

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Point estimation (62F10) Asymptotic properties of parametric estimators (62F12)

Abstract: We investigate the fractional Vasicek model described by the stochastic differential equation $$, $X_0=x_0$, driven by the fractional Brownian motion $B^H$ with the known Hurst parameter $Hin(1/2,1)$. We study the maximum likelihood estimators for unknown parameters $alpha$ and $$ in the non-ergodic case (when $$) for arbitrary $x_{0}inmathbbR$, generalizing the result of Tanaka, Xiao and Yu (2019) for particular $$, derive their asymptotic distributions and prove their asymptotic independence.

Review text

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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Cited in

(14)

• Parametric estimation in the Vasicek-type model driven by sub-fractional Brownian motion
• Asymptotic theory for rough fractional Vasicek models
• Estimating drift parameters in a non-ergodic Gaussian Vasicek-type model
• Statistical inference for nonergodic weighted fractional Vasicek models
• Maximum likelihood estimation for sub-fractional Vasicek model
• Maximum likelihood estimation of stochastic differential equations with random effects driven by fractional Brownian motion
• Asymptotic behavior of the maximum likelihood estimator for ergodic and nonergodic square-root diffusions
• Maximum Likelihood Estimation of the Non-Parametric FRF for Pulse-Like Excitations
• Properties of estimators of the parameters in a Vasicek interest rate model
• Asymptotic theory for estimating drift parameters in the fractional Vasicek model
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• Asymptotic distribution of the maximum likelihood estimator in the fractional Vašíček model
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