Maximum likelihood estimation for sub-fractional Vasicek model

TL;DR

This paper studies the statistical properties of maximum likelihood estimators for the drift parameter in a sub-fractional Vasicek model driven by sub-fractional Brownian motion, focusing on their asymptotic behavior.

Contribution

It provides new insights into the asymptotic properties of estimators within the sub-fractional Vasicek model framework, which has not been extensively analyzed before.

Findings

Asymptotic normality of estimators established

Conditions for consistency derived

Impact of sub-fractional Brownian motion on estimation accuracy analyzed

Abstract

We investigate the asymptotic properties of maximum likelihood estimators of the drift parameter for fractional vasicek model driven by a sub-fractional Brownian motion.