Parameter Estimation in Two-type Continuous-state Branching Processes with Immigration
arXiv:1303.5908 · doi:10.1016/j.spl.2014.04.021
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.
13 pages
References in corpus (1)
Cited by in corpus (3)
- Almost sure, L_1- and L_2-growth behavior of supercritical multi-type continuous state and continuous time branching processes with immigration
- Statistical inference for 2-type doubly symmetric critical irreducible continuous state and continuous time branching processes with immigration
- Nonparametric Estimation for Jump-Diffusion CIR Model