Parametric Estimation in the Vasicek-Type Model Driven by Sub-Fractional Brownian Motion

被引：7
|
作者：
Li, Shengfeng [1 ]
Dong, Yi [2 ]
机构：
[1] Bengbu Univ, Inst Appl Math, Bengbu 233030, Peoples R China
[2] Bengbu Univ, Sch Sci, Bengbu 233030, Peoples R China
来源：
ALGORITHMS | 2018年 / 11卷 / 12期
关键词：
least squares method; sub-fractional Brownian motion; Vasicek-type model; Young's integration; asymptotic distribution;
D O I：
10.3390/a11120197
中图分类号：
TP18 [人工智能理论];
学科分类号：
081104 ; 0812 ; 0835 ; 1405 ;
摘要：
In the paper, we tackle the least squares estimators of the Vasicek-type model driven by sub-fractional Brownian motion: dX(t) = (mu + theta X-t)dt + dS(t)(H) , t >= 0 with X-0 = 0, where S-H is a sub-fractional Brownian motion whose Hurst index H is greater than 1/2, and mu is an element of R , theta is an element of R+ are two unknown parameters. Based on the so-called continuous observations, we suggest the least square estimators of mu and theta and discuss the consistency and asymptotic distributions of the two estimators.
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页数：17
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