Physical Sciences and Mathematics Commons^™

On Maximum Likelihood Estimators For A Jump-Type Affine Diffusion Two-Factor Model, Jiaming Yin Mr.

Major Papers

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.