DOAJ Open Access 2025

Asymptotic Properties of Parameter Estimators in~Vasicek Model Driven by Tempered Fractional Brownian Motion

Yuliya Mishura Kostiantyn Ralchenko Olena Dehtiar

Abstrak

The paper focuses on the Vasicek model driven by a tempered fractional Brownian motion. We derive the asymptotic distributions of the least-squares estimators (based on continuous-time observations) for the unknown drift parameters. This work continues the investigation by Mishura and Ralchenko (Fractal and Fractional, 8(2:79), 2024), where these estimators were introduced and their strong consistency was proved.

Topik & Kata Kunci

Probabilities. Mathematical statistics Statistics

Penulis (3)

Yuliya Mishura

Kostiantyn Ralchenko

Olena Dehtiar

Format Sitasi

APA MLA BibTeX

Mishura, Y., Ralchenko, K., Dehtiar, O. (2025). Asymptotic Properties of Parameter Estimators in~Vasicek Model Driven by Tempered Fractional Brownian Motion. https://doi.org/10.17713/ajs.v54i1.1966

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Informasi Jurnal

Tahun Terbit: 2025
Sumber Database: DOAJ
DOI: 10.17713/ajs.v54i1.1966
Akses: Open Access ✓