Least squares estimation for a class of uncertain Vasicek model and its application to interest rates

Chao Wei ()
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Chao Wei: Anyang Normal University

Statistical Papers, 2024, vol. 65, issue 4, No 20, 2459 pages

Abstract: Abstract This paper addresses statistical inference in uncertain differential equations, focusing on parameter estimation for a class of uncertain Vasicek model with a small dispersion coefficient from discrete observations. Least squares estimators are obtained using a defined contrast function. The consistency and asymptotic distribution of these estimators are established. Numerical simulations and empirical analysis on real interest rate data highlight the efficacy of the proposed estimators and the methodology’s practicality in capturing interest rate dynamics.

Keywords: Least squares estimation; Uncertain Vasicek model; Liu process; Consistency; Asymptotic distribution; 60G52; 62F12 (search for similar items in EconPapers)
Date: 2024
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DOI: 10.1007/s00362-023-01494-1

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