Baidu
map

Calibrating fractional Vasicek model

Han, YC; Li, N

Li, N (通讯作者),Jilin Univ, Math Sch, Changchun 130012, Peoples R China.

COMMUNICATIONS IN STATISTICS-THEORY AND METHODS, 2023; 52 (13): 4429

Abstract

In this paper, the estimators for the Hurst parameter and diffusion parameter of a Vasicek model driven by fractional Brownian motion are studied, whe......

Full Text Link


Baidu
map
Baidu
map
Baidu
map