Asymptotic properties of parameter estimators in Vasicek model driven by tempered fractional Brownian motion

2024/06/04 by Mishura, Yuliya, Ralchenko, Kostiantyn, Dehtiar, Olena
#60G15 #60G22 #62F12 #62M09 #FOS: Mathematics #Probability (math.PR) #Statistics Theory (math.ST)

paper · doi:10.48550/arxiv.2406.02800

Abstract

The paper focuses on the Vasicek model driven by a tempered fractional Brownian motion. We derive the asymptotic distributions of the least-squares estimators (based on continuous-time observations) for the unknown drift parameters. This work continues the investigation by Mishura and Ralchenko (Fractal and Fractional, 8(2:79), 2024), where these estimators were introduced and their strong consistency was proved.

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