Stable convergence of conditional least squares estimators for supercritical continuous state and continuous time branching processes with immigration
We prove stable convergence of conditional least squares estimators of drift parameters for supercritical continuous state and continuous time branching processes with immigration based on discrete time observations. •Supercritical continuous state and continuous time branching processes with immigr...
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| Published in | Journal of statistical planning and inference Vol. 235; p. 106213 |
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| Main Author | |
| Format | Journal Article |
| Language | English |
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Elsevier B.V
01.03.2025
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| ISSN | 0378-3758 |
| DOI | 10.1016/j.jspi.2024.106213 |
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| Abstract | We prove stable convergence of conditional least squares estimators of drift parameters for supercritical continuous state and continuous time branching processes with immigration based on discrete time observations.
•Supercritical continuous state and continuous time branching processes with immigration.•Conditional least squares estimators.•Stable convergence. |
|---|---|
| AbstractList | We prove stable convergence of conditional least squares estimators of drift parameters for supercritical continuous state and continuous time branching processes with immigration based on discrete time observations.
•Supercritical continuous state and continuous time branching processes with immigration.•Conditional least squares estimators.•Stable convergence. |
| ArticleNumber | 106213 |
| Author | Barczy, Mátyás |
| Author_xml | – sequence: 1 givenname: Mátyás orcidid: 0000-0003-3119-7953 surname: Barczy fullname: Barczy, Mátyás email: barczy@math.u-szeged.hu organization: HUN-REN–SZTE Analysis and Applications Research Group, Bolyai Institute, University of Szeged, Aradi vértanúk tere 1, H–6720 Szeged, Hungary |
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| Cites_doi | 10.1016/j.spa.2015.03.002 10.1214/009117905000000747 10.4213/rm10068e 10.1017/apr.2021.7 10.1007/s10959-015-0605-0 10.1016/0304-4149(89)90092-6 10.1007/s11425-019-1552-1 10.1214/aoap/1060202833 10.1016/j.spl.2011.03.004 10.1017/S0266466600005880 10.1007/s00184-016-0578-8 |
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| Keywords | Supercritical Mixed normal distribution Continuous state and continuous time branching processes with immigration Conditional least squares estimator 60J80 Stable convergence 62F12 60F05 |
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| References | González, Del Puerto, Yanev (b12) 2018 Kyprianou (b19) 2014 Li (b20) 2020 Li (b21) 2022 Barczy, Li, Pap (b3) 2015; 12 Sato (b24) 1999 Barczy, Palau, Pap (b6) 2021; 53 Li, Ma (b22) 2015; 125 Smorodina, Yarovaya (b25) 2022; 77 Barczy, Pap (b7) 2023; 37 Wei, Winnicki (b26) 1989; 31 Duffie, Filipović, Schachermayer (b10) 2003; 13 Barczy, Li, Pap (b4) 2016; 29 Feller (b11) 1950 Overbeck, Rydén (b23) 1997; 13 Kingman (b18) 1993 Huang, Ma, Zhu (b15) 2011; 81 Kallenberg (b16) 1997 Cohn (b8) 2013 Dawson, Li (b9) 2006; 34 Athreya, Ney (b1) 2004 Barczy, Körmendi, Pap (b2) 2016; 79 Kallenberg (b17) 2017 Guttorp (b13) 1991 Barczy, Palau, Pap (b5) 2020; 63 Häusler, Luschgy (b14) 2015 Barczy (10.1016/j.jspi.2024.106213_b3) 2015; 12 Barczy (10.1016/j.jspi.2024.106213_b5) 2020; 63 Athreya (10.1016/j.jspi.2024.106213_b1) 2004 Duffie (10.1016/j.jspi.2024.106213_b10) 2003; 13 Kallenberg (10.1016/j.jspi.2024.106213_b17) 2017 Li (10.1016/j.jspi.2024.106213_b20) 2020 Barczy (10.1016/j.jspi.2024.106213_b4) 2016; 29 Li (10.1016/j.jspi.2024.106213_b22) 2015; 125 Häusler (10.1016/j.jspi.2024.106213_b14) 2015 Huang (10.1016/j.jspi.2024.106213_b15) 2011; 81 Barczy (10.1016/j.jspi.2024.106213_b2) 2016; 79 Dawson (10.1016/j.jspi.2024.106213_b9) 2006; 34 Kingman (10.1016/j.jspi.2024.106213_b18) 1993 Kyprianou (10.1016/j.jspi.2024.106213_b19) 2014 Smorodina (10.1016/j.jspi.2024.106213_b25) 2022; 77 González (10.1016/j.jspi.2024.106213_b12) 2018 Cohn (10.1016/j.jspi.2024.106213_b8) 2013 Sato (10.1016/j.jspi.2024.106213_b24) 1999 Li (10.1016/j.jspi.2024.106213_b21) 2022 Guttorp (10.1016/j.jspi.2024.106213_b13) 1991 Feller (10.1016/j.jspi.2024.106213_b11) 1950 Overbeck (10.1016/j.jspi.2024.106213_b23) 1997; 13 Barczy (10.1016/j.jspi.2024.106213_b6) 2021; 53 Barczy (10.1016/j.jspi.2024.106213_b7) 2023; 37 Wei (10.1016/j.jspi.2024.106213_b26) 1989; 31 Kallenberg (10.1016/j.jspi.2024.106213_b16) 1997 |
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| SubjectTerms | Conditional least squares estimator Continuous state and continuous time branching processes with immigration Mixed normal distribution Stable convergence Supercritical |
| Title | Stable convergence of conditional least squares estimators for supercritical continuous state and continuous time branching processes with immigration |
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