Keywords
Stochastic process, Drift parameters, Affine process, Hestion model
Abstract
We consider a jump-type two-factor affine diffusion model driven by a subordinator in the context of continuous time observations. We study the asymptotic properties of the maximum likelihood estimator (MLE) for the drift parameters. In particular, we prove the strong consistency and the asymptotic normality of MLE in the subcritical case. We also present some numerical illustrations to confirm the theoretical results. The main difficulty of this major paper consists in proving the ergodicity of the model in the subcritical case and deriving the limiting behavior of the process.
Primary Advisor
Dr. Sévérien Nkurunziza
Program Reader
Dr. Abdul A. Hussein
Degree Name
Master of Science
Department
Mathematics and Statistics
Document Type
Major Research Paper
Convocation Year
2023