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.

MoreLess

Year of publication:	2012-10
Authors:	Barczy, Matyas ; Doering, Leif ; Li, Zenghu ; Pap, Gyula
Institutions:	arXiv.org

More details

Extent:	application/pdf
Series:	Papers.
Type of publication:	Book / Working Paper
Notes:	Published in Electronic Journal of Statistics, Vol. 7 (2013) 647-696
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10010631272