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On parameter estimation for critical affine processes

First we provide a simple set of sufficient conditions for the weak convergence of scaled affine processes with state space $R_+ \times R^d$. We specialize our result to one-dimensional continuous state branching processes with immigration. As an application, we study the asymptotic behavior of least squares estimators of some parameters of a two-dimensional critical affine diffusion process.
Year of publication:
2012-10
Authors: Barczy, Matyas ; Doering, Leif ; Li, Zenghu ; Pap, Gyula
Institutions: arXiv.org
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Type of publication: Book / Working Paper
Notes:
Published in Electronic Journal of Statistics, Vol. 7 (2013) 647-696
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Persistent link: https://www.econbiz.de/10010631272
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