Estimation for discretely observed continuous state branching processes with immigration

Jianhui Huang, Chunhua Ma and Cai Zhu

Statistics & Probability Letters, 2011, vol. 81, issue 8, 1104-1111

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.

Keywords: Continuous; state; branching; process; Poisson; random; measure; Weighted; conditional; least; square; estimator; Weak; convergence (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (6)

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