Abstract
This study deals with drift parameters estimation problems in the sub-fractional Vasicek process given by , with , being unknown and ; here, represents a sub-fractional Brownian motion (sfBm). We introduce new estimators for and for based on discrete time observations and use techniques from Nordin–Peccati analysis. For the proposed estimators and , strong consistency and the asymptotic normality were established by employing the properties of . Moreover, we provide numerical simulations for sfBm and related Vasicek-type process with different values of the Hurst index H.
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