Title of article
Parameter estimation for a subcritical affine two factor model
Author/Authors
Barczy، نويسنده , , Mلtyلs and Do¨ring، نويسنده , , Leif and Li، نويسنده , , Zenghu and Pap، نويسنده , , Gyula، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2014
Pages
23
From page
37
To page
59
Abstract
For an affine two factor model, we study the asymptotic properties of the maximum likelihood and least squares estimators of some appearing parameters in the so-called subcritical (ergodic) case based on continuous time observations. We prove strong consistency and asymptotic normality of the estimators in question.
Keywords
Affine process , Least squares estimator , Maximum likelihood estimator
Journal title
Journal of Statistical Planning and Inference
Serial Year
2014
Journal title
Journal of Statistical Planning and Inference
Record number
2222664
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