scholarly journals Maximum likelihood estimation of fractional Brownian motion and Markov noise parameters

1995 ◽  
Vol 18 (2) ◽  
pp. 379-382 ◽  
Author(s):  
Michael E. Ash ◽  
Matthew E. Skeen
Keyword(s):  
Brownian Motion ◽  
Maximum Likelihood ◽  
Maximum Likelihood Estimation ◽  
Fractional Brownian Motion ◽  
Likelihood Estimation ◽  
Noise Parameters

Maximum likelihood estimation for sub-fractional Vasicek model

2021 ◽  
Vol 0 (0) ◽  
Author(s):  
B. L. S. Prakasa Rao
Keyword(s):  
Brownian Motion ◽  
Maximum Likelihood ◽  
Maximum Likelihood Estimation ◽  
Fractional Brownian Motion ◽  
Asymptotic Properties ◽  
Maximum Likelihood Estimators ◽  
Likelihood Estimation ◽  
Vasicek Model ◽  
Model Driven

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.

scholarly journals Maximum Likelihood Estimation in the Fractional Vasicek Model

2017 ◽  
Vol 56 (1) ◽  
pp. 77-87 ◽  
Author(s):  
Stanislav Lohvinenko ◽  
Kostiantyn Ralchenko
Keyword(s):  
Brownian Motion ◽  
Maximum Likelihood ◽  
Maximum Likelihood Estimation ◽  
Asymptotic Normality ◽  
Maximum Likelihood Estimators ◽  
Likelihood Estimation ◽  
Hurst Parameter ◽  
Unknown Parameters ◽  
Vasicek Model ◽  
Consistency And Asymptotic Normality

We consider the fractional Vasicek model of the form dXt = (α-βXt)dt +γdBHt , driven by fractional Brownian motion BH with Hurst parameter H ∈ (1/2,1). We construct the maximum likelihood estimators for unknown parameters α and β, and prove their consistency and asymptotic normality.

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