On conditional least squares estimation for affine diffusions based on continuous time observations
Probability
2017-07-27 v2 Statistics Theory
Statistics Theory
Abstract
We study asymptotic properties of conditional least squares estimators for the drift parameters of two-factor affine diffusions based on continuous time observations. We distinguish three cases: subcritical, critical and supercritical. For all the drift parameters, in the subcritical and supercritical cases, asymptotic normality and asymptotic mixed normality is proved, while in the critical case, non-standard asymptotic behavior is described.
Cite
@article{arxiv.1703.02376,
title = {On conditional least squares estimation for affine diffusions based on continuous time observations},
author = {Beáta Bolyog and Gyula Pap},
journal= {arXiv preprint arXiv:1703.02376},
year = {2017}
}
Comments
39 pages