Maximum Likelihood Estimation for the Fractional Vasicek Model

被引：16

作者：

Tanaka, Katsuto ^{[1
]}

Xiao, Weilin ^{[2
]}

Yu, Jun ^{[3
,4
]}

机构：

[1] Gakushuin Univ, Fac Econ, Tokyo 1718588, Japan

[2] Zhejiang Univ, Sch Management, Hangzhou 310058, Peoples R China

[3] Singapore Management Univ, Sch Econ, Singapore 178903, Singapore

[4] Singapore Management Univ, Lee Kong Chian Sch Business, Singapore 178903, Singapore

来源：

ECONOMETRICS | 2020年 / 8卷 / 03期

基金：

中国国家自然科学基金;

关键词：

maximum likelihood estimate; fractional Vasicek model; asymptotic distribution; stationary process; explosive process; boundary process; ASYMPTOTIC THEORY; LIMIT THEORY; VOLATILITY; PARAMETERS;

D O I：

10.3390/econometrics8030032

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper estimates the drift parameters in the fractional Vasicek model from a continuous record of observations via maximum likelihood (ML). The asymptotic theory for the ML estimates (MLE) is established in the stationary case, the explosive case, and the boundary case for the entire range of the Hurst parameter, providing a complete treatment of asymptotic analysis. It is shown that changing the sign of the persistence parameter changes the asymptotic theory for the MLE, including the rate of convergence and the limiting distribution. It is also found that the asymptotic theory depends on the value of the Hurst parameter.

引用

页码：1 / 28

页数：28

共 45 条

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Abramowitz M, 1972, HDB MATH FUNCTIONS

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