Next Article in Journal
Damage Identification Algorithm of Hinged Joints for Simply Supported Slab Bridges Based on Modified Hinge Plate Method and Artificial Bee Colony Algorithms
Previous Article in Journal
Solon: A Holistic Approach for Modelling, Managing and Mining Legal Sources
Previous Article in Special Issue
Iterative Identification for Multivariable Systems with Time-Delays Based on Basis Pursuit De-Noising and Auxiliary Model
Article Menu

Export Article

Open AccessArticle
Algorithms 2018, 11(12), 197; https://doi.org/10.3390/a11120197

Parametric Estimation in the Vasicek-Type Model Driven by Sub-Fractional Brownian Motion

1,* and 2
1
Institute of Applied Mathematics, Bengbu University, Bengbu 233030, China
2
School of Science, Bengbu University, Bengbu 233030, China
*
Author to whom correspondence should be addressed.
Received: 15 November 2018 / Revised: 30 November 2018 / Accepted: 30 November 2018 / Published: 4 December 2018
(This article belongs to the Special Issue Parameter Estimation Algorithms and Its Applications)
Full-Text   |   PDF [828 KB, uploaded 8 December 2018]   |  

Abstract

In the paper, we tackle the least squares estimators of the Vasicek-type model driven by sub-fractional Brownian motion: d X t = ( μ + θ X t ) d t + d S t H , t 0 with X 0 = 0 , where S H is a sub-fractional Brownian motion whose Hurst index H is greater than 1 2 , and μ R , θ R + are two unknown parameters. Based on the so-called continuous observations, we suggest the least square estimators of μ and θ and discuss the consistency and asymptotic distributions of the two estimators. View Full-Text
Keywords: least squares method; sub-fractional Brownian motion; Vasicek-type model; Young’s integration; asymptotic distribution least squares method; sub-fractional Brownian motion; Vasicek-type model; Young’s integration; asymptotic distribution
Figures

Figure 1

This is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited (CC BY 4.0).
SciFeed

Share & Cite This Article

MDPI and ACS Style

Li, S.; Dong, Y. Parametric Estimation in the Vasicek-Type Model Driven by Sub-Fractional Brownian Motion. Algorithms 2018, 11, 197.

Show more citation formats Show less citations formats

Note that from the first issue of 2016, MDPI journals use article numbers instead of page numbers. See further details here.

Related Articles

Article Metrics

Article Access Statistics

1

Comments

[Return to top]
Algorithms EISSN 1999-4893 Published by MDPI AG, Basel, Switzerland RSS E-Mail Table of Contents Alert
Back to Top