On parameter estimation for critical affine processes

Matyas Barczy, Leif Doering, Zenghu Li and Gyula Pap

Papers from arXiv.org

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.

Date: 2012-10, Revised 2013-03
New Economics Papers: this item is included in nep-ecm
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Published in Electronic Journal of Statistics, Vol. 7 (2013) 647-696

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1210.1866

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