Parameter estimation in two-type continuous-state branching processes with immigration

被引：6
|
作者：
Xu, Wei [1 ]
机构：
[1] Beijing Normal Univ, Sch Math Sci, Beijing 100875, Peoples R China
来源：
STATISTICS & PROBABILITY LETTERS | 2014年 / 91卷
关键词：
Two-type continuous-state branching process with immigration; Stochastic differential equation; Conditional least squares estimator; Weighted conditional least squares estimator; Consistency; Central limit theorem; TERM STRUCTURE;
D O I：
10.1016/j.spl.2014.04.021
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
We study the parameter estimation of two-type continuous-state branching processes with immigration based on low frequency observations at equidistant time points. The ergodicity of the processes is proved. The estimators are based on the minimization of a sum of squared deviation about conditional expectations. 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. (C) 2014 Elsevier B.V. All rights reserved.
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页码：124 / 134
页数：11
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