On parameter estimation for critical affine processes
AbstractFirst 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.
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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 1210.1866.
Date of creation: Oct 2012
Date of revision: Mar 2013
Publication status: Published in Electronic Journal of Statistics, Vol. 7 (2013) 647-696
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"Generalized Transform Analysis of Affine Processes and Applications in Finance,"
NBER Working Papers
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- repec:cup:cbooks:9780521496032 is not listed on IDEAS
- Huang, Jianhui & Ma, Chunhua & Zhu, Cai, 2011. "Estimation for discretely observed continuous state branching processes with immigration," Statistics & Probability Letters, Elsevier, vol. 81(8), pages 1104-1111, August.
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