Estimation for discretely observed continuous state branching processes with immigration

DOI10.1016/j.spl.2011.03.004zbMath1219.62126OpenAlexW2006547740MaRDI QIDQ553018

Jianhui Huang, Cai Zhu, Chunhua Ma

Publication date: 26 July 2011

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2011.03.004

zbMATH Keywords

weak convergencePoisson random measureweighted conditional least squares estimator

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Asymptotic distribution theory in statistics (62E20) Markov processes: estimation; hidden Markov models (62M05) Branching processes (Galton-Watson, birth-and-death, etc.) (60J80)

Related Items

On convergence properties of infinitesimal generators of scaled multitype CBI processes ⋮ Statistical inference for critical continuous state and continuous time branching processes with immigration ⋮ On parameter estimation for critical affine processes ⋮ Asymptotic properties of maximum likelihood estimator for the growth rate for a jump-type CIR process based on continuous time observations ⋮ Asymptotic behavior of critical, irreducible multi-type continuous state and continuous time branching processes with immigration ⋮ Asymptotic properties of estimators in a stable Cox-Ingersoll-Ross model ⋮ Statistical inference for 2-type doubly symmetric critical irreducible continuous state and continuous time branching processes with immigration

Cites Work

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• Some asymptotic results for the branching process with immigration
• Estimation of the means in the branching process with immigration
• Stopping times and tightness
• Skew convolution semigroups and affine Markov processes
• Estimation for Continuous Branching Processes
• A decomposition of Bessel Bridges
• Limit theorems for continuous state branching processes with immigration
• Probability
• A general characterization of one factor affine term structure models

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