Statistical inference for Vasicek-type model driven by self-similar Gaussian processes
DOI10.1080/03610926.2018.1543774OpenAlexW2904035946WikidataQ128780252 ScholiaQ128780252MaRDI QIDQ5085589FDOQ5085589
Authors: Qian Yu 
Publication date: 27 June 2022
Published in: Communications in Statistics: Theory and Methods (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610926.2018.1543774
Numerical solutions to stochastic differential and integral equations (65C30) Least squares and related methods for stochastic control systems (93E24) Self-similar stochastic processes (60G18)
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Cited In (6)
- Inference in a Non-Homogeneous Vasicek Type Model
- Statistical inference for Vasicek-type model driven by Hermite processes
- Maximum likelihood estimation for sub-fractional Vasicek model
- Parameter estimation for Vasicek model driven by a general Gaussian noise
- Least squares type estimators for the drift parameters in the sub-bifractional Vasicek processes
- Least-squares estimation for the Vasicek model driven by the complex fractional Brownian motion
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