Estimating Drift Parameters in a Sub-Fractional Vasicek-Type Process |
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Authors: | Anas D. Khalaf Tareq Saeed Reman Abu-Shanab Waleed Almutiry Mahmoud Abouagwa |
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Abstract: | This study deals with drift parameters estimation problems in the sub-fractional Vasicek process given by , with , being unknown and ; here, represents a sub-fractional Brownian motion (sfBm). We introduce new estimators for and for based on discrete time observations and use techniques from Nordin–Peccati analysis. For the proposed estimators and , strong consistency and the asymptotic normality were established by employing the properties of . Moreover, we provide numerical simulations for sfBm and related Vasicek-type process with different values of the Hurst index H. |
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Keywords: | parameter estimation, Vasicek-type model, strong consistency, central limit theorem, Berry– Esseen |
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