Least Squares Estimator for Vasicek Model Driven by Sub-fractional Brownian Processes from Discrete Observations

2020/07/03 by Zhang, Cuiyun, Guo, Jingjun, Ma, Aiqin +1
#FOS: Mathematics #Statistics Theory (math.ST)

paper · doi:10.48550/arxiv.2007.01460

Abstract

We study the parameter estimation problem of Vasicek Model driven by sub-fractional Brownian processes from discrete observations, and let S_t^H,t>=0 denote a sub-fractional Brownian motion whose Hurst parameter 1/2

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