On parameter estimation for critical affine processes

Abstract : 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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https://hal.archives-ouvertes.fr/hal-00739826
Contributeur : Leif Doering <>
Soumis le : mardi 9 octobre 2012 - 09:33:27
Dernière modification le : mardi 11 octobre 2016 - 13:45:09

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  • HAL Id : hal-00739826, version 1
  • ARXIV : 1210.1866

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UPMC | PMA | INSMI | USPC

Citation

Matyas Barczy, Leif Doering, Zenghu Li, Gyula Pap. On parameter estimation for critical affine processes. 39 pages. 2012. 〈hal-00739826〉

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