Estimation for discretely observed continuous state branching processes with immigration

We study the problem of parameter estimation for the continuous state branching processes with immigration, observed at discrete time points. The weighted conditional least square estimators (WCLSEs) are used for the drift parameters. Under the proper moment conditions, asymptotic distributions of the WCLSEs are obtained in the supercritical, sub- or critical cases.

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Year of publication:	2011
Authors:	Huang, Jianhui ; Ma, Chunhua ; Zhu, Cai
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 81.2011, 8, p. 1104-1111
Publisher:	Elsevier
Keywords:	Continuous state branching process Poisson random measure Weighted conditional least square estimator Weak convergence

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

Persistent link: https://ebvufind01.dmz1.zbw.eu/10009143260