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Maximum likelihood estimation for sub-fractional Vasicek model

  • B. L. S. Prakasa Rao ORCID logo EMAIL logo
Published/Copyright: October 10, 2021

Abstract

We investigate the asymptotic properties of maximum likelihood estimators of the drift parameters for the fractional Vasicek model driven by a sub-fractional Brownian motion.

MSC 2010: 62M09; 60G22

Communicated by Vyacheslav L. Girko


Funding statement: The work in this paper was supported under the scheme “INSA Senior Scientist” at the CR Rao Advanced Institute for Mathematics, Statistics and Computer Science, Hyderabad, India.

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Received: 2020-10-16
Accepted: 2021-07-20
Published Online: 2021-10-10
Published in Print: 2021-12-01

© 2021 Walter de Gruyter GmbH, Berlin/Boston

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