Estimation for discretely observed continuous state branching processes with immigration

Jianhui Huang; Chunhua Ma; Cai Zhu

doi:10.1016/j.spl.2011.03.004

Estimation for discretely observed continuous state branching processes with immigration

Jianhui Huang, Chunhua Ma, Cai Zhu

Research output: Journal article publication › Journal article › Academic research › peer-review

8 Citations (Scopus)

Abstract

We study the problem of parameter estimation for the continuous state branching processes with immigration, observed at discrete time points. The weighted conditional least square estimators (WCLSEs) are used for the drift parameters. Under the proper moment conditions, asymptotic distributions of the WCLSEs are obtained in the supercritical, sub- or critical cases.

Original language	English
Pages (from-to)	1104-1111
Number of pages	8
Journal	Statistics and Probability Letters
Volume	81
Issue number	8
DOIs	https://doi.org/10.1016/j.spl.2011.03.004
Publication status	Published - 1 Aug 2011

Keywords

Continuous state branching process
Poisson random measure
Weak convergence
Weighted conditional least square estimator

ASJC Scopus subject areas

Statistics and Probability
Statistics, Probability and Uncertainty

UN SDGs

This output contributes to the following UN Sustainable Development Goals (SDGs)

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10.1016/j.spl.2011.03.004

Cite this

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AU - Huang, Jianhui

AU - Ma, Chunhua

AU - Zhu, Cai

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N2 - We study the problem of parameter estimation for the continuous state branching processes with immigration, observed at discrete time points. The weighted conditional least square estimators (WCLSEs) are used for the drift parameters. Under the proper moment conditions, asymptotic distributions of the WCLSEs are obtained in the supercritical, sub- or critical cases.

AB - We study the problem of parameter estimation for the continuous state branching processes with immigration, observed at discrete time points. The weighted conditional least square estimators (WCLSEs) are used for the drift parameters. Under the proper moment conditions, asymptotic distributions of the WCLSEs are obtained in the supercritical, sub- or critical cases.

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KW - Poisson random measure

KW - Weak convergence

KW - Weighted conditional least square estimator

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Estimation for discretely observed continuous state branching processes with immigration

Abstract

Keywords

ASJC Scopus subject areas

UN SDGs

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