Stanislav Lohvinenko
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View article: Asymptotic distribution of the maximum likelihood estimator in the fractional Vašíček model
Asymptotic distribution of the maximum likelihood estimator in the fractional Vašíček model Open
The fractional VaÅ¡ÃÄek model \begin{equation*} dX_t = \left (\alpha - \beta X_t \right ) dt + \gamma dB_t^H \end{equation*} is considered. The model is driven by the fractional Brownian motion $B^H$ with the Hurst index $H\in \bigl (\fr…
View article: Maximum Likelihood Estimation in the Fractional Vasicek Model
Maximum Likelihood Estimation in the Fractional Vasicek Model Open
We consider the fractional Vasicek model of the form dXt = (α-βXt)dt +γdBHt , driven by fractional Brownian motion BH with Hurst parameter H ∈ (1/2,1). We construct the maximum likelihood estimators for unknown parameters α and β, and prov…
View article: Asymptotic Properties of Parameter Estimators in Fractional Vasicek Model
Asymptotic Properties of Parameter Estimators in Fractional Vasicek Model Open
We consider the fractional Vasicek model of the form dXt = (α-βXt)dt + γdBHt, driven by fractional Brownian motion BH with Hurst parameter H ∈ (0,1). We construct three estimators for an unknown parameter θ=(α,β) and prove their strong con…