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On parameter estimation for critical affine processes (1210.1866v2)
Published 5 Oct 2012 in math.ST, math.PR, q-fin.ST, and stat.TH
Abstract: First we provide a simple set of sufficient conditions for the weak convergence of scaled affine processes with state space $R_+ \times Rd$. 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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