Least squares type estimators for the drift parameters in the sub-bifractional Vasicek processes

DOI10.1142/S0219025723500042MaRDI QIDQ6113296zbMATH OpenOpenAlexFDO

Authors Nenghui Kuang, Huantian Xie

Publication date 10 July 2023

Published in Infinite Dimensional Analysis, Quantum Probability and Related Topics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/s0219025723500042

zbMATH Keywords

asymptotic distributionleast squares type estimatorstrong consistencysub-bifractional Vasicek process

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Asymptotic properties of parametric estimators (62F12) Non-Markovian processes: estimation (62M09)

Cites work

• Asymptotic behavior of weighted cubic variation of sub-fractional Brownian motion
• Asymptotic theory for estimating drift parameters in the fractional Vasicek model
• Berry-Esséen bounds and almost sure CLT for the quadratic variation of the sub-bifractional Brownian motion
• Estimating drift parameters in a fractional Ornstein Uhlenbeck process with periodic mean
• Estimating drift parameters in a non-ergodic Gaussian Vasicek-type model
• Least squares estimation for the drift parameters in the sub-fractional Vasicek processes
• Least squares estimator for -sub-fractional bridges
• Least squares estimator for non-ergodic Ornstein-Uhlenbeck processes driven by Gaussian processes
• Least squares estimator of fractional Ornstein-Uhlenbeck processes with periodic mean
• Maximum likelihood estimator for the sub-fractional Brownian motion approximated by a random walk
• On the collision local time of sub-bifractional Brownian motions
• Parameter estimation for -fractional bridges
• Parameter estimation for Gaussian mean-reverting Ornstein–Uhlenbeck processes of the second kind: Non-ergodic case
• Parameter estimations for the sub-fractional Brownian motion with drift at discrete observation
• Statistical inference for Vasicek-type model driven by self-similar Gaussian processes
• The pathwise convergence of approximation schemes for stochastic differential equations

Cited in

(2)

• Ritz-least squares support vector regression technique for the system of fractional Fredholm-Volterra integro-differential equations
• Least squares estimation for sub-fractional Brownian bridge with linear drift

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