Maximum Likelihood Estimators for a Supercritical Branching Diffusion Process

Pablo Olivares and Janko Hernandez

International Journal of Mathematics and Mathematical Sciences, 2012, vol. 2012, 1-20

Abstract:

The log-likelihood of a nonhomogeneous Branching Diffusion Process under several conditions assuring existence and uniqueness of the diffusion part and nonexplosion of the branching process. 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.

Date: 2012
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jijmms:515192

DOI: 10.1155/2012/515192

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