Statistical inference for Vasicek-type model driven by self-similar Gaussian processes

Qian Yu

Communications in Statistics - Theory and Methods, 2020, vol. 49, issue 2, 471-484

Abstract: In this paper, we consider the drift parameters estimation problem for the Vasicek-type model defined as dXt=a(b−Xt)dt+dGt, X0=0, t≥0 where a

Date: 2020
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DOI: 10.1080/03610926.2018.1543774

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