Parameter estimation for a subcritical affine two factor model

Published 14 Feb 2013 in math.ST, q-fin.ST, and stat.TH | (1302.3451v3)

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.

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