Barczy, Mátyás and Leif, Döring and Zenghu, Li and Pap, Gyula (2014) Parameter estimation for a subcritical affine two factor model. JOURNAL OF STATISTICAL PLANNING AND INFERENCE, 151. pp. 37-59. ISSN 0378-3758
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Official URL: https://doi.org/10.1016/j.jspi.2014.04.001
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.
| Item Type: | Article |
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| Subjects: | Q Science / természettudomány > QA Mathematics / matematika |
| SWORD Depositor: | MTMT SWORD |
| Depositing User: | MTMT SWORD |
| Date Deposited: | 13 Feb 2024 10:06 |
| Last Modified: | 13 Feb 2024 10:06 |
| URI: | https://real.mtak.hu/id/eprint/188235 |
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