ASYMPTOTIC NORMALITY OF ESTIMATORS FOR ALL PARAMETERS IN THE VASICEK MODEL BY DISCRETE OBSERVATIONS

被引：0

作者：

Prykhodko, Olha ^{[1
]}

Ralchenko, Kostiantyn ^{[1
]}

机构：

[1] Taras Shevchenko Natl Univ Kyiv, Dept Probabil Theory & Math Stat, 64 Volodymyrska, UA-01601 Kyiv, Ukraine

来源：

THEORY OF PROBABILITY AND MATHEMATICAL STATISTICS | 2024年 / 111卷

关键词：

Stochastic differential equation; parameter estimation; low-frequency data; asymptotic properties of estimators; TIME;

D O I：

10.1090/tpms/1218

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

We continue to study the joint estimation of all three parameters of the Vasicek model, based on equidistant observations of a trajectory. We consider strongly consistent estimators previously constructed in Prykhodko and Ralchenko (2022) and establish their joint asymptotic normality. The theoretical results are illustrated by a numerical study that confirms our theoretical findings.

引用

页码：123 / 135

页数：13

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