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.
- 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