Journal
FRACTAL AND FRACTIONAL
Volume 6, Issue 1, Pages -Publisher
MDPI
DOI: 10.3390/fractalfract6010044
Keywords
maximum likelihood estimator; mixed fractional Vasicek model; asymptotic theory; Laplace transform
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Funding
- Humanities and Social Sciences Research and Planning fund of the Ministry of Education of China [20YJA630053]
- National Nature Science Foundation of China [71871202]
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This paper discusses the estimation problem of drift parameters in the mixed fractional Vasicek model, which extends the traditional Vasicek model. Through the use of fundamental martingale and Laplace transform, the strong consistency and asymptotic normality of the maximum likelihood estimators are studied for all H∈(0,1), H≠1/2. Additionally, it is shown that the MLE can be simulated when H > 1/2.
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.
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