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
Contributor : Leif Doering <>
Submitted on : Tuesday, October 9, 2012 - 9:33:27 AM
Last modification on : Wednesday, May 15, 2019 - 3:36:48 AM

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

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Matyas Barczy, Leif Doering, Zenghu Li, Gyula Pap. On parameter estimation for critical affine processes. 2012. ⟨hal-00739826⟩

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