Asymptotic normality of estimators for all parameters in the Vasicek model by discrete observations
Анотація
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.
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