## 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
Parameter estimation for fractional Ornstein–Uhlenbeck processes at discrete observation
✍ Scribed by Weilin Xiao; Weiguo Zhang; Weidong Xu
- Publisher
- Elsevier Science
- Year
- 2011
- Tongue
- English
- Weight
- 544 KB
- Volume
- 35
- Category
- Article
- ISSN
- 0307-904X
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