论文标题
来自离散观测的次分支布朗工艺驱动的Vasicek模型的最小二乘估计器
Least Squares Estimator for Vasicek Model Driven by Sub-fractional Brownian Processes from Discrete Observations
论文作者
论文摘要
我们研究了由离散观测值的次级布朗工艺驱动的Vasicek模型的参数估计问题，让{s_t^h，t> = 0}表示hurst参数1/2 <h <1。研究如下：首先，模型中的两个未知参数是通过最小二乘法估计的。其次，分别研究了估计量的强一致性和渐近分布。最后，我们的估计器通过数值模拟验证。
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<H<1 . The studies are as follows: firstly, two unknown parameters in the model are estimated by the least squares method. Secondly, the strong consistency and the asymptotic distribution of the estimators are studied respectively. Finally, our estimators are validated by numerical simulation.
