Lithuanian Journal of Statistics (Dec 2017)
Maximum Likelihood Estimation in the 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 ∈ (1/2,1). We construct the maximum likelihood estimators for unknown parameters α and β, and prove their consistency and asymptotic normality.
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