Least squares estimation for a class of uncertain Vasicek model and its application to interest rates

DOI10.1007/S00362-023-01494-1MaRDI QIDQ6579429FDOQ6579429

Authors: Chao Wei 

Publication date: 25 July 2024

Published in: Statistical Papers (Search for Journal in Brave)

zbMATH Keywords

consistencyasymptotic distributionleast squares estimationLiu processuncertain Vasicek model

Mathematics Subject Classification ID

Point estimation (62F10) Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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