Lohvinenko, S., Ralchenko, K. and Zhuchenko, O. (2016) “Asymptotic Properties of Parameter Estimators in Fractional Vasicek Model”, Lithuanian Journal of Statistics, 55(1), pp. 102–111. doi:10.15388/LJS.2016.13872.
Asymptotic Properties of Parameter Estimators in Fractional Vasicek Model
Abstract
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 consistency.