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Method of moments estimation for the superposition of square-root diffusions

Yanfeng Wu,Jian-Qiang Hu

2024 · DOI: 10.1017/s0269964824000147
1 Citations

Abstract

We consider the problem of parameter estimation for the superposition of square-root diffusions. We first derive the explicit formulas for the moments and auto-covariances based on which we develop our moment estimators. We then establish a central limit theorem for the estimators with the explicit formulas for the asymptotic covariance matrix. Finally, we conduct numerical experiments to validate our method.