Non‐parametric Estimation of the Death Rate in Branching Diffusions

R. Höpfner, M. Hoffmann and E. Löcherbach

Scandinavian Journal of Statistics, 2002, vol. 29, issue 4, 665-692

Abstract: We consider finite systems of diffusing particles in with branching and immigration. Branching of particles occurs at position dependent rate. Under ergodicity assumptions, we estimate the position‐dependent branching rate based on the observation of the particle process over a time interval [0, t]. Asymptotics are taken as t → ∞. We introduce a kernel‐type procedure and discuss its asymptotic properties with the help of the local time for the particle configuration. We compute the minimax rate of convergence in squared‐error loss over a range of Hölder classes and show that our estimator is asymptotically optimal.

Date: 2002
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