论文标题
由一般高斯噪声驱动的Vasicek模型的参数估计
Parameter estimation for Vasicek model driven by a general Gaussian noise
论文作者
论文摘要
本文为vasicek模型开发了一个由一般高斯工艺驱动的模型。我们为Vasicek模型的漂移参数构造了最小二乘估计器和矩估计器，我们证明了一致性和渐近正态性。我们的方法扩展了Xiao和Yu（2018）的结果，因为噪声是分数的布朗运动，而Hurst参数H \在[1/2,1）。
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).
