Optimal estimation for continuous state branching processes with discrete sampling

被引：0

作者：

Kim, Y ^{[1
]}

机构：

[1] NIH, Rockville, MD 20852 USA

来源：

JOURNAL OF STATISTICAL PLANNING AND INFERENCE | 1998年 / 70卷 / 01期

关键词：

continuous state branching process; estimating function; semimartingale models;

D O I：

10.1016/S0378-3758(97)00182-1

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：

This paper is concerned with estimation of the drift parameter in a Glass of continuous state branching processes by use of the estimating function theory (Heyde, 1992, J. Statist. Plann. Inference 33, 121-129). The main interests are to develop a method of estimating the parameter in case when only discrete sampling is available. For this purpose, a discretized quasi-score function is introduced and a discretized optimal estimator derived therefrom is obtained. Large-sample properties of the discretized optimal estimator are established. Finally, two examples of continuous state branching processes are given. (C) 1998 Elsevier Science B.V. All rights reserved.

引用

页码：77 / 89

页数：13

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