Estimation for discretely observed continuous state branching processes with immigration |
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| Authors: | Jianhui Huang Cai Zhu |
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| Affiliation: | a Department of Applied Mathematics, The Hong Kong Polytechnic University, Hong Kongb School of Mathematical Sciences and LPMC, Nankai University, Tianjin 300071, PR China |
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| Abstract: | 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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| Keywords: | primary, 62F12, 62M05 secondary, 60G52, 60J75 |
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