ARTICLE
TITLE

Least Squares Estimator for Vasicek Model Driven by Fractional Levy Processes

SUMMARY

In this paper, we consider parameter estimation problem for Vasicek model driven by fractional lévy processes definedWe construct least squares estimator for drift parameters based on time?continuous observations, the consistency and asymptotic distribution of these estimators are studied in the non?ergodic case. In contrast to the fractional Vasicek model, it can be regarded as a Lévy generalization of fractional Vasicek model.

PAGES
pp. 8013 - 8024
COLLECTIONS

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