Parameter estimation for a subcritical affine two factor model

Matyas Barczy, Leif Doering, Zenghu Li and Gyula Pap

Papers from arXiv.org

Abstract: 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: 2013-02, Revised 2014-04
New Economics Papers: this item is included in nep-ecm
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Published in Journal of Statistical Planning and Inference 151-152, 2014, 37-59

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1302.3451

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