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Register a new userLeast Squares Estimator for Vasicek Model Driven by Sub-fractional Brownian Processes from Discrete Observations
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Added by
Jingjun Guo
Publication date
2020
fields
Mathematical Statistics
and research's language is
English
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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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