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On parameter estimation for critical affine processes

  • Matyas Barczy
  • Leif Doering
  • Zenghu Li
  • Gyula Pap
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    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.

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    File URL: http://arxiv.org/pdf/1210.1866
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    Paper provided by arXiv.org in its series Papers with number 1210.1866.

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    Date of creation: Oct 2012
    Date of revision: Mar 2013
    Publication status: Published in Electronic Journal of Statistics, Vol. 7 (2013) 647-696
    Handle: RePEc:arx:papers:1210.1866
    Contact details of provider: Web page: http://arxiv.org/

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    1. Hui Chen & Scott Joslin, 2011. "Generalized Transform Analysis of Affine Processes and Applications in Finance," NBER Working Papers 16906, National Bureau of Economic Research, Inc.
    2. Leif Andersen & Vladimir Piterbarg, 2007. "Moment explosions in stochastic volatility models," Finance and Stochastics, Springer, vol. 11(1), pages 29-50, January.
    3. 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.
    4. repec:cup:cbooks:9780521496032 is not listed on IDEAS
    5. Overbeck, Ludger & Rydén, Tobias, 1997. "Estimation in the Cox-Ingersoll-Ross Model," Econometric Theory, Cambridge University Press, vol. 13(03), pages 430-461, June.
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