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On parameter estimation for critical affine processes

Author

Listed:
  • 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)

  • Zenghu Li
  • Gyula Pap

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.

Suggested Citation

  • Matyas Barczy & Leif Doering & Zenghu Li & Gyula Pap, 2012. "On parameter estimation for critical affine processes," Working Papers hal-00739826, HAL.
    • Handle: RePEc:hal:wpaper:hal-00739826
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    Cited by:

    1. Fadaeenejad, M. & Radzi, M.A.M. & AbKadir, M.Z.A. & Hizam, H., 2014. "Assessment of hybrid renewable power sources for rural electrification in Malaysia," Renewable and Sustainable Energy Reviews, Elsevier, vol. 30(C), pages 299-305.

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