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.
|Date of creation:||Oct 2012|
|Date of revision:||Mar 2013|
|Publication status:||Published in Electronic Journal of Statistics, Vol. 7 (2013) 647-696|
|Contact details of provider:|| Web page: http://arxiv.org/|
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- 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.
- Leif Andersen & Vladimir Piterbarg, 2007. "Moment explosions in stochastic volatility models," Finance and Stochastics, Springer, vol. 11(1), pages 29-50, January.
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- Overbeck, Ludger & Rydén, Tobias, 1997. "Estimation in the Cox-Ingersoll-Ross Model," Econometric Theory, Cambridge University Press, vol. 13(03), pages 430-461, June. Full references (including those not matched with items on IDEAS)
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