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Drift parameter estimation for infinite-dimensional fractional Ornstein–Uhlenbeck process

✍ Scribed by Maslowski, Bohdan; Tudor, Ciprian A.


Book ID
121315933
Publisher
Elsevier Science
Year
2013
Tongue
French
Weight
227 KB
Volume
137
Category
Article
ISSN
0007-4497

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## Abstract We consider some inference problems concerning the drift parameters of multi‐factors Vasicek model (or multivariate Ornstein–Uhlebeck process). For example, in modeling for interest rates, the Vasicek model asserts that the term structure of interest rate is not just a single process, b