Parameter estimation for a subcritical affine two factor model
classification
🧮 math.ST
q-fin.STstat.TH
keywords
affineasymptoticestimatorsfactormodelsubcriticalappearingcase
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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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