Parameter Estimation in Two-type Continuous-state Branching Processes with Immigration
Probability
2016-01-12 v2
Abstract
We study the estimation of two-type continuous-state branching processes with immigration (CBI-processes). The ergodicity of the processes is proved. 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.
Cite
@article{arxiv.1303.5908,
title = {Parameter Estimation in Two-type Continuous-state Branching Processes with Immigration},
author = {Wei Xu},
journal= {arXiv preprint arXiv:1303.5908},
year = {2016}
}
Comments
13 pages