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arXiv · 2406.02800

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

Yuliya Mishura·Kostiantyn Ralchenko·Olena Dehtiar
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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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Yuliya Mishura, Kostiantyn Ralchenko, Olena Dehtiar. 2024-06-04. Asymptotic properties of parameter estimators in Vasicek model driven by tempered fractional Brownian motion. https://arxiv.org/abs/2406.02800

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