Parameter estimation for Vasicek model driven by a general Gaussian noise

Xingzhi Pei

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arXiv · 2009.09332

Parameter estimation for Vasicek model driven by a general Gaussian noise

Xingzhi Pei

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Abstract

This paper developed an inference problem for Vasicek model driven by a general Gaussian process. We construct a least squares estimator and a moment estimator for the drift parameters of the Vasicek model, and we prove the consistency and the asymptotic normality. Our approach extended the result of Xiao and Yu (2018) for the case when noise is a fractional Brownian motion with Hurst parameter H \in [1/2,1).

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Xingzhi Pei. 2020-09-20. Parameter estimation for Vasicek model driven by a general Gaussian noise. https://arxiv.org/abs/2009.09332

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