On conditional least squares estimation for affine diffusions based on continuous time observations

被引：0
|
作者：
Beáta Bolyog
Gyula Pap
机构：
[1] University of Szeged,Bolyai Institute
来源：
Statistical Inference for Stochastic Processes | 2019年 / 22卷
关键词：
Affine processes; Continuous time observations; Conditional least squares estimators; 60J80; 62F12;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
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.
引用
收藏
页码：41 / 75
页数：34
相关论文
共 50 条
  • [21] CONDITIONAL LEAST SQUARES ESTIMATION IN NONSTATIONARY NONLINEAR STOCHASTIC REGRESSION MODELS
    Jacob, Christine
    ANNALS OF STATISTICS, 2010, 38 (01): : 566 - 597
  • [22] WEIGHTED LEAST-SQUARES ESTIMATION FROM GROUPED OBSERVATIONS
    BEWLEY, R
    REVIEW OF ECONOMICS AND STATISTICS, 1989, 71 (01) : 187 - 188
  • [23] Distributed estimation in diffusion networks using affine least-squares combiners
    Fernandez-Bes, Jesus
    Azpicueta-Ruiz, Luis A.
    Arenas-Garcia, Jeronimo
    Silva, Magno T. M.
    DIGITAL SIGNAL PROCESSING, 2015, 36 : 1 - 14
  • [24] DIRECT AND INDIRECT LEAST-SQUARES METHODS IN CONTINUOUS-TIME PARAMETER-ESTIMATION
    VAJDA, S
    VALKO, P
    GODFREY, KR
    AUTOMATICA, 1987, 23 (06) : 707 - 718
  • [25] Least squares parameter estimation of continuous-time ARX models from discrete-time data
    Soderstrom, T
    Fan, H
    Carlsson, B
    Bigi, S
    IEEE TRANSACTIONS ON AUTOMATIC CONTROL, 1997, 42 (05) : 659 - 673
  • [26] Grid-based simulation and the method of conditional least squares
    Ensor, KB
    Glynn, PW
    1996 WINTER SIMULATION CONFERENCE PROCEEDINGS, 1996, : 325 - 331
  • [27] Diagonal loading least squares time delay estimation
    LI Xuan YAN Shefeng MA Xiaochuan (Institute of Acoustics
    Chinese Journal of Acoustics, 2012, 31 (02) : 165 - 177
  • [28] Estimation of conditional moment by moving least squares and its application for importance analysis
    Ruan, Wenbin
    Lu, Zhenzhou
    Wei, Pengfei
    PROCEEDINGS OF THE INSTITUTION OF MECHANICAL ENGINEERS PART O-JOURNAL OF RISK AND RELIABILITY, 2013, 227 (06) : 641 - 650
  • [29] Least Squares Conditional Density Estimation in Semi-supervised Learning Settings
    Khan, Rubaiya Rahtin
    Sugiyama, Masashi
    2012 7TH INTERNATIONAL CONFERENCE ON ELECTRICAL AND COMPUTER ENGINEERING (ICECE), 2012,
  • [30] Maximum likelihood estimation of diffusions by continuous time Markov chain
    Kirkby, J. L.
    Nguyen, Dang H.
    Nguyen, Duy
    Nguyen, Nhu N.
    COMPUTATIONAL STATISTICS & DATA ANALYSIS, 2022, 168
12345