On parameter estimation for critical affine processes
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Abstract: First we provide a simple set of sufficient conditions for the weak convergence of scaled affine processes with state space . 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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Cited in
(17)- Asymptotic behavior of maximum likelihood estimators for a jump-type Heston model
- Least-squares estimation for the subcritical Heston model based on continuous-time observations
- Affine processes on \(\mathbb{R}_+^m\times\mathbb{R}^n\) and multiparameter time changes
- On conditional least squares estimation for affine diffusions based on continuous time observations
- Parameter estimation in two-type continuous-state branching processes with immigration
- Parameter estimation for a subcritical affine two factor model
- Stochastic equation and exponential ergodicity in Wasserstein distances for affine processes
- Asymptotic behavior of critical, irreducible multi-type continuous state and continuous time branching processes with immigration
- On convergence properties of infinitesimal generators of scaled multitype CBI processes
- Reduction and reconstruction of stochastic differential equations via symmetries
- Statistical inference for critical continuous state and continuous time branching processes with immigration
- Stationarity and ergodicity for an affine two-factor model
- Affine Processes: A Test of Isotropy Based on Level Sets
- Asymptotic properties of maximum-likelihood estimators for Heston models based on continuous time observations
- Volterra square-root process: stationarity and regularity of the law
- Berry-Esseen bound and Cramér-type moderate deviation of the MLE for Ornstein-Uhlenbeck process with discrete observations
- Ergodicity and law-of-large numbers for the Volterra Cox-Ingersoll-Ross process
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