Asymptotic Properties of Parameter Estimators in Vasicek Model Driven by Tempered Fractional Brownian Motion

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annif.suggestionsstochastic processes|probability calculation|mathematics|estimating (statistical methods)|mathematical models|econometrics|differential equations|time-series analysis|asymptote|simulation|enen
annif.suggestions.linkshttp://www.yso.fi/onto/yso/p11400|http://www.yso.fi/onto/yso/p4746|http://www.yso.fi/onto/yso/p3160|http://www.yso.fi/onto/yso/p11349|http://www.yso.fi/onto/yso/p11401|http://www.yso.fi/onto/yso/p13480|http://www.yso.fi/onto/yso/p3552|http://www.yso.fi/onto/yso/p22747|http://www.yso.fi/onto/yso/p19463|http://www.yso.fi/onto/yso/p4787en
dc.contributor.authorMishura, Yuliya
dc.contributor.authorRalchenko, Kostiantyn
dc.contributor.authorDehtiar, Olena
dc.contributor.departmentfi=Ei tutkimusalustaa|en=No platform|-
dc.contributor.facultyfi=Tekniikan ja innovaatiojohtamisen yksikkö|en=School of Technology and Innovations|-
dc.contributor.orcidhttps://orcid.org/0000-0001-7208-3130-
dc.contributor.organizationfi=Vaasan yliopisto|en=University of Vaasa|
dc.date.accessioned2025-05-27T11:04:43Z
dc.date.accessioned2025-06-25T14:03:57Z
dc.date.available2025-05-27T11:04:43Z
dc.date.issued2025-01-05
dc.description.abstractThe paper focuses on the Vasicek model driven by a tempered fractional Brownian motion. We derive the asymptotic distributions of the least-squares estimators (based on continuous-time observations) for the unknown drift parameters. This work continues the investigation by Mishura and Ralchenko (Fractal and Fractional, 8(2:79), 2024), where these estimators were introduced and their strong consistency was proved.-
dc.description.notificationCopyright (c) 2025 Yuliya Mishura, Kostiantyn Ralchenko, Olena Dehtiar. This work is licensed under a Creative Commons Attribution 3.0 Unported License.-
dc.description.reviewstatusfi=vertaisarvioitu|en=peerReviewed|-
dc.format.bitstreamtrue
dc.format.contentfi=kokoteksti|en=fulltext|-
dc.format.extent21-
dc.format.pagerange61-81-
dc.identifier.olddbid23868
dc.identifier.oldhandle10024/19369
dc.identifier.urihttps://osuva.uwasa.fi/handle/11111/3263
dc.identifier.urnURN:NBN:fi-fe2025052755209-
dc.language.isoeng-
dc.publisherAustrian Statistical Society-
dc.relation.doi10.17713/ajs.v54i1.1966-
dc.relation.funderSwedish Foundation for Strategic Research-
dc.relation.funderResearch Council of Finland-
dc.relation.funderResearch Council of Norway-
dc.relation.grantnumberUKR22-0017-
dc.relation.grantnumber359815-
dc.relation.grantnumber274410-
dc.relation.ispartofjournalAustrian Journal of Statistics-
dc.relation.issn1026-597X-
dc.relation.issue1-
dc.relation.urlhttps://doi.org/10.17713/ajs.v54i1.1966-
dc.relation.volume54-
dc.rightsCC BY 4.0-
dc.source.identifierWOS:001317280000001-
dc.source.identifier2-s2.0-85217443842-
dc.source.identifierhttps://osuva.uwasa.fi/handle/10024/19369
dc.subjecttempered fractional process-
dc.subjecttempered fractional Vasicek model-
dc.subjectparameter estimation-
dc.subjectasymptotic distribution-
dc.subject.disciplinefi=Matematiikka|en=Mathematics|-
dc.titleAsymptotic Properties of Parameter Estimators in Vasicek Model Driven by Tempered Fractional Brownian Motion-
dc.type.okmfi=A1 Alkuperäisartikkeli tieteellisessä aikakauslehdessä|en=A1 Peer-reviewed original journal article|sv=A1 Originalartikel i en vetenskaplig tidskrift|-
dc.type.publicationarticle-
dc.type.versionpublishedVersion-

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