Theory of Probability and Mathematical Statistics
Asymptotic normality of estimators for all parameters in the Vasicek model by discrete observations
Olha Prykhodko and Kostiantyn Ralchenko
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Abstract: We continue to study the joint estimation of all three parameters of the Vasicek model, based on equidistant observations of a trajectory. We consider strongly consistent estimators previously constructed in Prykhodko and Ralchenko (2022) and establish their joint asymptotic normality. The theoretical results are illustrated by a numerical study that confirms our theoretical findings.
Keywords: Stochastic differential equation, parameter estimation, low-frequency data, asymptotic properties of estimators
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