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Maximum Likelihood Estimation for the Fractional Vasicek Model

by 1,†, 2,† and 3,*,†
1
Faculty of Economics, Gakushuin University, Tokyo 171-8588, Japan
2
School of Management, Zhejiang University, Hangzhou 310058, China
3
School of Economics and Lee Kong Chian Schoo of Business, Singapore Management University, Singapore 178903, Singapore
*
Author to whom correspondence should be addressed.
We would like to thank three referees for helpful comments. Jun Yu’s homepage http://www.mysmu.edu/faculty/yujun/.
Received: 9 November 2019 / Revised: 7 August 2020 / Accepted: 7 August 2020 / Published: 12 August 2020
This paper estimates the drift parameters in the fractional Vasicek model from a continuous record of observations via maximum likelihood (ML). The asymptotic theory for the ML estimates (MLE) is established in the stationary case, the explosive case, and the boundary case for the entire range of the Hurst parameter, providing a complete treatment of asymptotic analysis. It is shown that changing the sign of the persistence parameter changes the asymptotic theory for the MLE, including the rate of convergence and the limiting distribution. It is also found that the asymptotic theory depends on the value of the Hurst parameter. View Full-Text
Keywords: maximum likelihood estimate; fractional Vasicek model; asymptotic distribution; stationary process; explosive process; boundary process maximum likelihood estimate; fractional Vasicek model; asymptotic distribution; stationary process; explosive process; boundary process
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MDPI and ACS Style

Tanaka, K.; Xiao, W.; Yu, J. Maximum Likelihood Estimation for the Fractional Vasicek Model. Econometrics 2020, 8, 32. https://0-doi-org.brum.beds.ac.uk/10.3390/econometrics8030032

AMA Style

Tanaka K, Xiao W, Yu J. Maximum Likelihood Estimation for the Fractional Vasicek Model. Econometrics. 2020; 8(3):32. https://0-doi-org.brum.beds.ac.uk/10.3390/econometrics8030032

Chicago/Turabian Style

Tanaka, Katsuto, Weilin Xiao, and Jun Yu. 2020. "Maximum Likelihood Estimation for the Fractional Vasicek Model" Econometrics 8, no. 3: 32. https://0-doi-org.brum.beds.ac.uk/10.3390/econometrics8030032

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