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arXiv · 2106.03350

Maximum likelihood estimation for sub-fractional Vasicek model

B. L. S. Prakasa Rao
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Abstract

We investigate the asymptotic properties of maximum likelihood estimators of the drift parameter for fractional vasicek model driven by a sub-fractional Brownian motion.

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B. L. S. Prakasa Rao. 2021-06-07. Maximum likelihood estimation for sub-fractional Vasicek model. https://arxiv.org/abs/2106.03350

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