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

共 50 条

[31] ACCELERATING MAXIMUM LIKELIHOOD ESTIMATION FOR HAWKES POINT PROCESSES
Guo, Ce
Luk, Wayne
2013 23RD INTERNATIONAL CONFERENCE ON FIELD PROGRAMMABLE LOGIC AND APPLICATIONS (FPL 2013) PROCEEDINGS, 2013,
[32] Maximum likelihood estimation for stochastic differential equations driven by a mixed fractional Brownian motion with random effects
Prakasa Rao, B. L. S.
COMMUNICATIONS IN STATISTICS-THEORY AND METHODS, 2023, 52 (11) : 3816 - 3824
[33] Maximum likelihood estimation for the drift parameter in diffusion processes
Wei, Chao
Shu, Huisheng
STOCHASTICS-AN INTERNATIONAL JOURNAL OF PROBABILITY AND STOCHASTIC REPORTS, 2016, 88 (05): : 699 - 710
[34] MAXIMUM-LIKELIHOOD ESTIMATION OF DISCRETE CONTROL PROCESSES
RUST, J
SIAM JOURNAL ON CONTROL AND OPTIMIZATION, 1988, 26 (05) : 1006 - 1024
[35] EDGEWORTH EXPANSION FOR THE DISTRIBUTION OF THE MAXIMUM LIKELIHOOD ESTIMATE IN THE VASICEK MODEL
Zhu, Qinwen
Liu, Hui
Sun, Chengfeng
ANNALS OF FINANCIAL ECONOMICS, 2019, 14 (01)
[36] Semiparametric quasi maximum likelihood estimation of the fractional response model
Montoya-Blandon, Santiago
Jacho-Chavez, David T.
ECONOMICS LETTERS, 2020, 186
[37] Biases in the Maximum Simulated Likelihood Estimation of the Mixed Logit Model
Jumamyradov, Maksat
Munkin, Murat
Greene, William H.
Craig, Benjamin M.
ECONOMETRICS, 2024, 12 (02)
[38] MAXIMUM-LIKELIHOOD ESTIMATION FOR MIXED ANALYSIS OF VARIANCE MODEL
HARTLEY, HO
RAO, JNK
BIOMETRIKA, 1967, 54 : 93 - &
[39] MAXIMUM-LIKELIHOOD-ESTIMATION OF MIXED STOCK FISHERY COMPOSITION
MILLAR, RB
CANADIAN JOURNAL OF FISHERIES AND AQUATIC SCIENCES, 1987, 44 (03) : 583 - 590
[40] Maximum penalized likelihood estimation of mixed proportional hazard models
Huh, K
Postert, AK
Sickles, RC
COMMUNICATIONS IN STATISTICS-THEORY AND METHODS, 1998, 27 (09) : 2143 - 2164

← 1 2 3 4 5 →