Least Squares Estimator for Vasicek Model Driven by Sub-fractional Brownian Processes from Discrete Observations
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Publication:6344339
arXiv2007.01460MaRDI QIDQ6344339FDOQ6344339
Authors: Cuiyun Zhang, Jingjun Guo, Aiqin Ma, Bo Peng 
Publication date: 2 July 2020
Abstract: We study the parameter estimation problem of Vasicek Model driven by sub-fractional Brownian processes from discrete observations, and let {S_t^H,t>=0} denote a sub-fractional Brownian motion whose Hurst parameter 1/2<H<1 . The studies are as follows: firstly, two unknown parameters in the model are estimated by the least squares method. Secondly, the strong consistency and the asymptotic distribution of the estimators are studied respectively. Finally, our estimators are validated by numerical simulation.
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