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2013 On parameter estimation for critical affine processes
Mátyás Barczy, Leif Döring, Zenghu Li, Gyula Pap
Electron. J. Statist. 7(none): 647-696 (2013). DOI: 10.1214/13-EJS786

Abstract

First we provide a simple set of sufficient conditions for the weak convergence of scaled affine processes with state space $\mathbb{R}_{+}\times \mathbb{R}^{d}$. 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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Mátyás Barczy. Leif Döring. Zenghu Li. Gyula Pap. "On parameter estimation for critical affine processes." Electron. J. Statist. 7 647 - 696, 2013. https://doi.org/10.1214/13-EJS786

Information

Published: 2013
First available in Project Euclid: 14 March 2013

zbMATH: 1336.60165
MathSciNet: MR3035268
Digital Object Identifier: 10.1214/13-EJS786

Subjects:
Primary: 60F05, 60J80
Secondary: 62F12, 91G70

Rights: Copyright © 2013 The Institute of Mathematical Statistics and the Bernoulli Society

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