相关论文: Statistical inference for 2-type doubly symmetric …
We study asymptotic behavior of conditional least squares estimators for critical continuous state and continuous time branching processes with immigration based on discrete time (low frequency) observations.
We prove stable convergence of conditional least squares estimators of drift parameters for supercritical continuous state and continuous time branching processes with immigration based on discrete time observations.
In this paper, the asymptotic behavior of the conditional least squares (CLS) estimators of the offspring means $(\alpha,\beta)$ and of the criticality parameter $\varrho:=\alpha+\beta$ for a $2$-type critical doubly symmetric positively…
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…
In this paper the asymptotic behavior of the conditional least squares estimators of the offspring mean matrix for a 2-type critical positively regular Galton-Watson branching process with immigration is described.We also study this…
The asymptotic normality of conditional least squares estimators for the offspring variance in critical branching processes with non-homogeneous immigration is established, under moment assumptions on both reproduction and immigration. The…
Under natural assumptions, a Feller type diffusion approximation is derived for critical, irreducible multi-type continuous state and continuous time branching processes with immigration. Namely, it is proved that a sequence of…
Under a fourth order moment condition on the branching and a second order moment condition on the immigration mechanisms, we show that an appropriately scaled projection of a supercritical and irreducible continuous state and continuous…
First we provide a simple set of sufficient conditions for the weak convergence of scaled affine processes with state space $R_+ \times R^d$. We specialize our result to one-dimensional continuous state branching processes with immigration.…
We study asymptotic properties of conditional least squares estimators for the drift parameters of two-factor affine diffusions based on continuous time observations. We distinguish three cases: subcritical, critical and supercritical. For…
We study the estimation of a stable Cox-Ingersoll-Ross model, which is a special subcritical continuous-state branching process with immigration. The process is characterized in terms of some stochastic equations. The exponential ergodicity…
The purpose of this paper is to study the asymptotic behavior of the weighted least square estimators of the unknown parameters of random coefficient bifurcating autoregressive processes. Under suitable assumptions on the immigration and…
We study the asymptotic behavior of the least squares estimators of the unknown parameters of bifurcating autoregressive processes. Under very weak assumptions on the driven noise of the process, namely conditional pair-wise independence…
We study the asymptotic behavior of the weighted least squares estimators of the unknown parameters of bifurcating integer-valued autoregressive processes. Under suitable assumptions on the immigration, we establish the almost sure…
We describe the asymptotic behavior of the conditional least squares estimator of the offspring mean for subcritical strongly stationary Galton--Watson processes with regularly varying immigration with tail index $\alpha \in (1,2)$. The…
We study asymptotic properties of some (essentially conditional least squares) parameter estimators for the subcritical Heston model based on discrete time observations derived from conditional least squares estimators of some modified…
In this paper the asymptotic behavior of a critical multi-type branching process with immigration is described when the offspring mean matrix is irreducible, in other words, when the process is indecomposable. It is proved that sequences of…
In this paper the asymptotic behavior of conditional least squares estimators of the autoregressive parameter for nonprimitive unstable integer-valued autoregressive models of order 2 (INAR(2)) is described.
For an affine two factor model, we study the asymptotic properties of the maximum likelihood and least squares estimators of some appearing parameters in the so-called subcritical (ergodic) case based on continuous time observations. We…
We observe the continuous-time Markov Branching Process without high-order moments and allowing Immigration. Limit properties of transition functions and their convergence to invariant measures are investigated. Main mathematical tool is…