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  • 标题:On parameter estimation for critical affine processes
  • 本地全文:下载
  • 作者:Mátyás Barczy ; Leif Döring ; Zenghu Li
  • 期刊名称:Electronic Journal of Statistics
  • 印刷版ISSN:1935-7524
  • 出版年度:2013
  • 卷号:7
  • 页码:647-696
  • DOI:10.1214/13-EJS786
  • 语种:English
  • 出版社:Institute of Mathematical Statistics
  • 摘要:First we provide a simple set of sufficient conditions for the weak convergence of scaled affine processes with state space $\mathbb{R}_{+}\times \mathbb{R}^{d}$. 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.
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