Least Squares Estimator for Vasicek Model Driven by Fractional Levy Processes

qingbo wang; Xiuwei Yin

doi:10.24297/jam.v14i2.7839

Authors

qingbo wang Anhui Normal University
Xiuwei Yin Anhui Normal University

DOI:

https://doi.org/10.24297/jam.v14i2.7839

Keywords:

least squares estimator, Stochastic differential equations, fraction Levy processes, asymptotic distribution.

Abstract

In this paper, we consider parameter estimation problem for Vasicek model driven by fractional lévy processes defined

We construct least squares estimator for drift parameters based on time?continuous observations, the consistency and asymptotic distribution of these estimators are studied in the non?ergodic case. In contrast to the fractional Vasicek model, it can be regarded as a Lévy generalization of fractional Vasicek model.

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Author Biography

Xiuwei Yin, Anhui Normal University

School of mathematics and statistic, Anhui Normal University, Wuhu 241000, P.R. China

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