Least Squares Estimators for Discretely Observed Vasicek Interest Rate Model with Small α Stable Noises

Abstract

本文研究[0,1]区间中离散时间ti=(i/n,i=1,L,n) 观测的α-稳定Levy噪声驱动的Vasicek利率模型的参数估计问题。 dXt=(a-bXt)dt+δdZt 采用最小二乘法得到了a和b的估计量。在δ→0和δ→∞ 同时成立的条件下，完成了最小二乘估计量的相合性和渐近性的证明。 In this paper, we consider the problem of parameter estimation for Vasicek interest rate model with small α-stable noises, observed at n regularly spaced time points ti=(i/n,i=1,L,n) on [0,1] dXt=(a-bXt)dt+δdZt Least squares method is used to obtain a and b. The consistencies and asymptotic distributions of the LSE are established when δ→0 and δ→∞ simultaneously.