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arXiv · 1303.5908

Parameter Estimation in Two-type Continuous-state Branching Processes with Immigration

Wei Xu
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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.

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Wei Xu. 2013-04-11. Parameter Estimation in Two-type Continuous-state Branching Processes with Immigration. https://doi.org/10.1016/j.spl.2014.04.021

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