Maximum likelihood estimators for a supercritical branching diffusion process
type: Item
instance of: scholarly article
title: Maximum likelihood estimators for a supercritical branching diffusion process
zbMATH Open document ID: 1257.62087
DOI: 10.1155/2012/515192
author: Pablo Olivares
author: Janko Hernandez
published in: International Journal of Mathematics and Mathematical Sciences
publication date: 2012-12-18T00:00:00Z
review text: Summary: The paper investigates the log-likelihood of a nonhomogeneous branching diffusion process under several conditions assuring existence and uniqueness of the diffusion part and non-explosion of the branching process is given. Expressions for different Fisher information measures are provided. Using the semimartingale structure of the process and its local characteristics, a Girsanov-type result is applied. Finally, an Ornstein-Uhlenbeck process with finite reproduction mean is studied. Simulation results are discussed showing consistency and asymptotic normality.
Mathematics Subject Classification ID: 62M05
Mathematics Subject Classification ID: 62F10
zbMATH DE Number: 6116543
Wikidata QID: Q58704812
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.1155/2012/515192
OpenAlex ID: W2146500134
cites work: The maximum likelihood estimation of coefficient of diffusion in a birth and diffusion process
cites work: Q4307498
cites work: A branching diffusion model of selection: from the neutral Wright-Fisher case to the one including mutations
cites work: Recurrence and transience of branching diffusion processes on Riemannian manifolds
cites work: Construction et Propriétés de Martingales des Branchements Spatiaux Interactifs
cites work: Q3721531
cites work: Parametric estimation for simple branching diffusion processes. II
cites work: A Girsanov transformation for birth and death on a Brownian flow
cites work: On local asymptotic normality for birth and death on a flow
cites work: Q3774629
cites work: Asymptotic behavior of maximum likelihood estimators in a branching diffusion model
cites work: Q4127752
cites work: Q3664178
cites work: Q4264747
DBLP publication ID: journals/ijmmsc/OlivaresH12
description: scientific article; zbMATH DE number 6116543