The paper introduces several approximate maximum likelihood estimators of the parameters of the sub-fractional Chan-Karolyi-Longstaff-Sanders (CKLS) interest rate model and obtains their rates of convergence. A new algorithm inspired by Newton-Cotes formula is presented to improv...
Open access
Research Article10.9734/ajpas/2021/v13i330311
We study the strong consistency and asymptotic normality of the maximum likelihood estimator (MLE) of a drift parameter in a stochastic volatility model when both the asset price process and the stochastic volatility are driven by independent fractional Brownian motions. Long mem...
Open access
Research Article10.9734/ARJOM/2017/35933
The paper obtains explicit form of fine large deviation theorems for the log-likelihood ratio in testing fractional stochastic partial differential equation models using a finite number of Fourier coefficients of the solution. The equation is driven by additive noise that is whit...
Open access
Research Article10.9734/ARJOM/2017/33094
Strong consistency and conditional asymptotic normality of the conditional least squares estimator of a parameter appearing nonlinearly in the time dependent drift coefficient of the Itô stochastic differential equation are obtained under some regularity conditions when the corre...
Open access
Research Article10.9734/ARJOM/2017/38665