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Least Squares Estimator for Vasicek Model Driven by Sub-fractional Brownian Processes from Discrete Observations

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 نشر من قبل Jingjun Guo
 تاريخ النشر 2020
  مجال البحث الاحصاء الرياضي
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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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