Asymptotic Growth of Sample Paths of Tempered Fractional Brownian Motions, with Statistical Applications to Vasicek-Type Models

Abstract

Tempered fractional Brownian motion (TFBM) and tempered fractional Brownian motion of the second kind (TFBMII) modify the power-law kernel in the moving average representation of fractional Brownian motion by introducing exponential tempering. We construct least-square estimators for the unknown drift parameters within Vasicek models that are driven by these processes. To demonstrate their strong consistency, we establish asymptotic bounds with probability 1 for the rate of growth of trajectories of tempered fractional processes.

Keywords

• fractional Brownian motion
• tempered fractional processes
• asymptotic growth
• Vasicek model
• parameter estimation
• strong consistency