Branching Markov processes and related asymptotics

Models for Markov processes indexed by a branching process are presented. The new class of models is referred to as the branching Markov process (BMP). The law of large numbers and a central limit theorem for the BMP are established. Bifurcating autoregressive processes (BAR) are special cases of the general BMP model discussed in the paper. Applications to parameter estimation are also presented.

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Year of publication:	2009
Authors:	Hwang, S.Y. ; Basawa, I.V.
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 100.2009, 6, p. 1155-1167
Publisher:	Elsevier
Subject:	primary \| 62P10 secondary \| 62M99 Branching processes Markov processes Law of large numbers Central limit theorem Conditional exponential family Least squares Quasilikelihood and maximum likelihood estimation

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005153177