Parameter estimation for a subcritical affine two factor model
For 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.
|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|
|Contact details of provider:|| Web page: http://arxiv.org/|
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16906, National Bureau of Economic Research, Inc.
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