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.
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页码：41 / 75
页数：34
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