Optimal estimation for continuous state branching processes with discrete sampling

✍ Scribed by Yongdai Kim

• Publisher: Elsevier Science
• Year: 1998
• Tongue: English
• Weight: 553 KB
• Volume: 70
• Category: Article
• ISSN: 0378-3758
• DOI: 10.1016/s0378-3758(97)00182-1

✦ Synopsis

This paper is concerned with estimation of the drift parameter in a class 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. Largesample properties of the discretized optimal estimator are established. Finally, two examples of continuous state branching processes are given.