Parameter estimation in two-type continuous-state branching processes with immigration

Wei Xu

Statistics & Probability Letters, 2014, vol. 91, issue C, 124-134

Abstract: We study the parameter estimation of two-type continuous-state branching processes with immigration based on low frequency observations at equidistant time points. The ergodicity of the processes is proved. The estimators are based on the minimization of a sum of squared deviation about conditional expectations. We also establish the strong consistency and central limit theorems of the conditional least squares estimators and the weighted conditional least squares estimators of the drift and diffusion coefficients based on low frequency observations.

Keywords: Two-type continuous-state branching process with immigration; Stochastic differential equation; Conditional least squares estimator; Weighted conditional least squares estimator; Consistency; Central limit theorem (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (3)

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DOI: 10.1016/j.spl.2014.04.021

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