Parameter estimation for a subcritical affine two factor model
AbstractFor an affine two factor model, we study the asymptotic properties of the maximum likelihood and least squares estimators of some appearing parameters in the so-called subcritical (ergodic) case based on continuous time observations. We prove strong consistency and asymptotic normality of the estimators in question.
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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 1302.3451.
Date of creation: Feb 2013
Date of revision: Apr 2014
Publication status: Published in Journal of Statistical Planning and Inference 151-152, 2014, 37-59
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