Maximum Likelihood Estimation for Mixed Fractional Vasicek Processes

被引：3

作者：

Cai, Chun-Hao ^{[1
]}

Huang, Yin-Zhong ^{[2
]}

Sun, Lin ^{[3
]}

Xiao, Wei-Lin ^{[4
]}

机构：

[1] Sun Yat Sen Univ, Sch Math Zhuhai, Guangzhou 510275, Peoples R China

[2] Shanghai Univ Finance & Econ, Sch Math, Shanghai 200433, Peoples R China

[3] Guangdong Univ Technol, Sch Math & Stat, Guangzhou 510006, Peoples R China

[4] Zhejiang Univ, Sch Management, Hangzhou 310058, Peoples R China

来源：

FRACTAL AND FRACTIONAL | 2022年 / 6卷 / 01期

关键词：

maximum likelihood estimator; mixed fractional Vasicek model; asymptotic theory; Laplace transform; PARAMETER-ESTIMATION; VOLATILITY;

D O I：

10.3390/fractalfract6010044

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

In this paper, we consider the problem of estimating the drift parameters in the mixed fractional Vasicek model, which is an extended model of the traditional Vasicek model. Using the fundamental martingale and the Laplace transform, both the strong consistency and the asymptotic normality of the maximum likelihood estimators are studied for all H & ISIN;(0,1), H & NOTEQUAL;1/2. On the other hand, we present that the MLE can be simulated when the Hurst parameter H > 1/2.

引用

页数：19

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