On conditional least squares estimation for affine diffusions based on continuous time observations

Bolyog, Beata and Pap, Gyula (2019) On conditional least squares estimation for affine diffusions based on continuous time observations. STATISTICAL INFERENCE FOR STOCHASTIC PROCESSES, 22 (1). pp. 41-75. ISSN 1387-0874

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Abstract

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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