On parameter estimation for critical affine processes

Matyas Barczy, Leif Doering, Zenghu Li and Gyula Pap
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Matyas Barczy: Department of Applied Mathematics and Probability - University of Debrecen
Leif Doering: LPMA - Laboratoire de Probabilités et Modèles Aléatoires - UPMC - Université Pierre et Marie Curie - Paris 6 - UPD7 - Université Paris Diderot - Paris 7 - CNRS - Centre National de la Recherche Scientifique

Working Papers from HAL

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: 2012-10-05
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