Abstract
In this paper, we study the least-squares estimation problem for the Vasicek model
driven by the complex fractional Brownian motion
where
is a two-dimensional fractional Brownian motion with Hurst parameter
We obtain the strong consistency and asymptotic normality of
and
using the Garsia–Rodemich–Rumsey inequality and complex fourth moment theorems.
Acknowledgments
The authors would like to thank the anonymous referee and editor whose remarks and suggestions greatly improved the presentation of our paper. The authors also thank Professor Yong Chen for very stimulating discussions.
Disclosure statement
No potential conflict of interest was reported by the author(s).