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Statistical inference for 2-type doubly symmetric critical irreducible continuous state and continuous time branching processes with immigration

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  • Barczy, Mátyás
  • Körmendi, Kristóf
  • Pap, Gyula

Abstract

We study asymptotic behavior of conditional least squares estimators for 2-type doubly symmetric critical irreducible continuous state and continuous time branching processes with immigration based on discrete time (low frequency) observations.

Suggested Citation

  • Barczy, Mátyás & Körmendi, Kristóf & Pap, Gyula, 2015. "Statistical inference for 2-type doubly symmetric critical irreducible continuous state and continuous time branching processes with immigration," Journal of Multivariate Analysis, Elsevier, vol. 139(C), pages 92-123.
    • Handle: RePEc:eee:jmvana:v:139:y:2015:i:c:p:92-123
    DOI: 10.1016/j.jmva.2015.03.005
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    References listed on IDEAS

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    1. Xu, Wei, 2014. "Parameter estimation in two-type continuous-state branching processes with immigration," Statistics & Probability Letters, Elsevier, vol. 91(C), pages 124-134.
    2. Overbeck, Ludger & Rydén, Tobias, 1997. "Estimation in the Cox-Ingersoll-Ross Model," Econometric Theory, Cambridge University Press, vol. 13(3), pages 430-461, June.
    3. Huang, Jianhui & Ma, Chunhua & Zhu, Cai, 2011. "Estimation for discretely observed continuous state branching processes with immigration," Statistics & Probability Letters, Elsevier, vol. 81(8), pages 1104-1111, August.
    4. Barczy, M. & Ispány, M. & Pap, G., 2011. "Asymptotic behavior of unstable INAR(p) processes," Stochastic Processes and their Applications, Elsevier, vol. 121(3), pages 583-608, March.
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