Maximum likelihood estimation for the fractional Vasicek model
Year of publication: |
2020
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Authors: | Tanaka, Katsuto ; Xiao, Weilin ; Yu, Jun |
Published in: |
Econometrics : open access journal. - Basel : MDPI, ISSN 2225-1146, ZDB-ID 2717594-7. - Vol. 8.2020, 3/32, p. 1-28
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Subject: | asymptotic distribution | boundary process | explosive process | fractional Vasicek model | maximum likelihood estimate | stationary process | Maximum-Likelihood-Schätzung | Maximum likelihood estimation | Schätztheorie | Estimation theory | Zeitreihenanalyse | Time series analysis |
Type of publication: | Article |
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Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Other identifiers: | 10.3390/econometrics8030032 [DOI] hdl:10419/247580 [Handle] |
Classification: | C15 - Statistical Simulation Methods; Monte Carlo Methods ; C22 - Time-Series Models ; C32 - Time-Series Models |
Source: | ECONIS - Online Catalogue of the ZBW |
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