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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Web page: http://arxiv.org/
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