Asymptotic Properties of Parameter Estimators in~Vasicek Model Driven by Tempered Fractional Brownian Motion

Authors

DOI:

https://doi.org/10.17713/ajs.v54i1.1966

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.

Downloads

Published

2025-01-05

How to Cite

Mishura, Y., Ralchenko, K., & Dehtiar, O. (2025). Asymptotic Properties of Parameter Estimators in~Vasicek Model Driven by Tempered Fractional Brownian Motion. Austrian Journal of Statistics, 54(1), 61–81. https://doi.org/10.17713/ajs.v54i1.1966

Issue

Section

Special Issue Department of Probability, Statistics and Actuarial Mathematics at TSNU of Kyiv