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Estimation for Continuous Branching Processes

Ludger Overbeck

Scandinavian Journal of Statistics, 1998, vol. 25, issue 1, 111-126

Abstract: The maximum‐likelihood estimator for the curved exponential family given by continuous branching processes with immigration is investigated. These processes originated from population biology but also model the dynamics of interest rates and development of the state of technology in economics. It is proved that in contrast to branching processes with discrete space and/or time the MLE gives a unified approach to the inference. In order to include singular subdomains of the parameter space we modify the MLE slightly. Consistency and asymptotic normality for the MLE are considered. Concerning the asymptotic theory of the experiments, all three properties LAQ, LAN, and LAMN occur for different submodels

Date: 1998
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